Risk sensitive optimal control: Existence and synthesis for models with unbounded cost
| Author(s) : | S. P. Meyn V. S. Borkar, |
| Publisher : | N/A |
| Publication Date : | 1998 |
| ISSN : | N/A |
| Abstract : | The existence of an optimal feedback law is established for the risk sensitive optimal control problem with denumerable state space and unbounded cost. It is found that a solution can be found constructively using value iteration or policy iteration., |