Risk - Sensitive
نویسندگان
چکیده
This paper has two objectives. The rst is to introduce a unifying framework for risk-sensitive control of Markov Decision Processes (MDPs). The framework includes, as special cases, a number of approaches that have been considered in the literature. The second objective is to apply risk-sensitive criteria to the control of queueing systems. We generalize the uniformization methodology that relates continuous-time and discrete-time queueing models, and consider a simple discrete-time example.
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