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A Learning Algorithm for Risk-Sensitive Cost

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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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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