A poisson equation for the risk-sensitive average cost in semi-markov chains

被引：3
|
作者：
Cavazos-Cadena, Rolando [1 ]
机构：
[1] Univ Autonoma Agr Antonio Narro, Dept Estadisitca & Calculo, Blvd Antonio Narro 1923, Saltillo 25315, Coahuila, Mexico
来源：
DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS | 2016年 / 26卷 / 04期
关键词：
Exponential utility; Stopping time; Non-linear certainty-equivalent; Communicating underlying chain; INFINITE-HORIZON RISK; OPTIMALITY; SYSTEM;
D O I：
10.1007/s10626-015-0224-z
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This work concerns semi-Markov chains evolving on a finite state space. The system development generates a cost when a transition is announced, as well as a holding cost which is incurred continuously during each sojourn time. It is assumed that these costs are paid by an observer with positive and constant risk-sensitivity, and the overall performance of the system is measured by the corresponding (long-run) risk-sensitive average cost criterion. In this framework, conditions are provided under which the average index does not depend on the initial state and is characterized in terms of a single Poisson equation.
引用
收藏
页码：633 / 656
页数：24
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