Basu, Arnab and Bhattacharyya, Tirthankar and Borkar, VS (2008) A Learning Algorithm for Risk-Sensitive Cost. In: Mathematics of Operations Research, 33 (4). pp. 880-898.
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Abstract
A linear function approximation-based reinforcement learning algorithm is proposed for Markov decision processes with infinite horizon risk-sensitive cost. Its convergence is proved using the "o.d.e. method" for stochastic approximation. The scheme is also extended to continuous state space processes.
| Item Type: | Journal Article |
|---|---|
| Publication: | Mathematics of Operations Research |
| Publisher: | Informs |
| Additional Information: | Copyright of this article belongs to Informs. |
| Keywords: | learning algorithm;risk-sensitive cost;function approximation;stochastic approximation. |
| Department/Centre: | Division of Physical & Mathematical Sciences > Mathematics |
| Date Deposited: | 21 Jul 2009 07:43 |
| Last Modified: | 27 Feb 2019 10:20 |
| URI: | http://eprints.iisc.ac.in/id/eprint/17471 |
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