Risk-Sensitive Markov Decision Processes

doi:10.1287/mnsc.18.7.356

Risk-Sensitive Markov Decision Processes

1972-03-01

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DOI：10.1287/mnsc.18.7.356

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This paper considers the maximization of certain equivalent reward generated by a Markov decision process with constant risk sensitivity. First, value iteration is used to optimize possibly time-varying processes of finite duration. Then a policy iteration procedure is developed to find the stationary policy with highest certain equivalent gain for the infinite duration case. A simple example demonstrates both procedures.

Risk-Sensitive Markov Decision Processes

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