32 citations · 419 across the 47 of their papers we have counts for
22 papers · 1 filter
Linear and dynamic programs for risk-sensitive cost minimization
Ari Arapostathis, Vivek S. Borkar
We derive equivalent linear and dynamic programs for infinite horizon risk-sensitive control for minimization of the asymptotic growth rate of the cumulative cost.
Convex Analytic Method Revisited: Further Optimality Results and Performance of Deterministic Policies in Average Cost Stochastic Control
Ari Arapostathis, Serdar Yüksel
The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit th…
On the relative value iteration with a risk-sensitive criterion
Ari Arapostathis, Vivek S. Borkar
A multiplicative relative value iteration algorithm for solving the dynamic programming equation for the risk-sensitive control problem is studied for discrete time controlled Mark…
On the policy improvement algorithm for ergodic risk-sensitive control
Ari Arapostathis, Anup Biswas, Somnath Pradhan
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…
Risk-sensitive control for a class of diffusions with jumps
Ari Arapostathis, Anup Biswas
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump Lévy process and a nondegenerate Wiener process, and we study infinite horizon (e…
Optimal scheduling of critically loaded multiclass GI/M/n+M queues in an alternating renewal environment
Ari Arapostathis, Guodong Pang, Yi Zheng
In this paper, we study optimal control problems for multiclass GI/M/n+M queues in an alternating renewal (up-down) random environment in the Halfin-Whitt regime. Assuming that the…