Discrete-time Markov decision processes under risk-sensitive average cost criterion

：魏清达（华侨大学）
：2023-05-26 16:30
：海韵园实验楼109报告厅

报告人：魏清达（华侨大学）

时  间：2023年5月26日下午16:30

地  点：海韵园实验楼109报告厅

内容摘要:

In this talk, we will discuss some recent progress on discrete-time Markov decision processes under risk-sensitive average cost criterion. The state space is a Borel space and the cost function can be possibly unbounded. Under suitable conditions we derive the multiplicative Poisson equation. Moreover, we establish the existence of a solution to risk-sensitive average cost optimality equation and the existence of a stationary optimal policy. Finally, we give a policy iteration algorithm and analyze its convergence.

个人简介：

魏清达，华侨大学经济与金融学院教授，2013年于中山大学数学学院获博士学位，主要研究方向为马氏决策模型、随机博弈及其应用，已在SIAM Journal on Control and Optimization、Systems and Control Letters、Applied Mathematics and Optimization、Journal of Optimization Theory and Applications等国际期刊上发表论文二十余篇，主持国家自然科学基金面上在内的多个课题项目。

 

联系人：胡杰