On the policy improvement algorithm for ergodic risk-sensitive control
arXiv:1912.04568 · doi:10.1017/prm.2020.61
Abstract
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability hypothesis, or a near-monotone assumption on the running cost. We establish the convergence of the policy improvement algorithm for these models. We also present a more general result concerning the region of attraction of the equilibrium of the algorithm.
20 pages