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Ergodic risk-sensitive control-A survey
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DOI：10.1016/j.arcontrol.2023.03.001.png)
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Abstract
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Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson (Howard and Matheson, 1971/72) because of its ability to account for fluctuations about the mean, its connection with ������& INFIN; control, and its application to financial mathematics. In this article we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades.
Keywords:
Risk-sensitive control
Bellman equation
Generalized principal eigenvalue
Multiplicative dynamic programming
Verification theorem
Markov decision process
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