An Actor-Critic Algorithm with Function Approximation for Risk Sensitive Cost Markov Decision Processes

In this paper, we consider the risk-sensitive cost criterion with exponentiated costs for Markov decision processes and develop a model-free policy gradient algorithm in this setting. Unlike additive cost criteria such as average or discounted cost, the risk-sensitive cost criterion is less studied...

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Bibliographic Details

Published in:	IEEE transactions on automatic control pp. 1 - 8
Main Authors:	Guin, Soumyajit, Borkar, Vivek S., Bhatnagar, Shalabh
Format:	Journal Article
Language:	English
Published:	IEEE 2025
Subjects:	Approximation algorithms Convergence Costs Function approximation Machine learning algorithms Markov decision processes Training Vectors Zinc
ISSN:	0018-9286, 1558-2523
Online Access:	Get full text
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