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Risk-sensitive Semi-Markov Decision Problems with Discounted Cost and General Utilities
Published 12 Jan 2021 in math.OC | (2101.04510v1)
Abstract: In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite horizon problems. Using a state augmentation technique we characterise the value functions and also prescribe optimal controls.
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