Cavazos-Cadena, Rolando; Montes-de-Oca, Raúl - In: Mathematical Methods of Operations Research 52 (2000) 1, pp. 133-167
This note concerns Markov decision processes on a discrete state space. It is supposed that the reward function is nonnegative, and that the decision maker has a nonnull constant risk-sensitivity, which leads to grade random rewards via the expectation of an exponential utility function. The...
