Seminar by Arnab Bhabak

Title: Risk-Sensitive Semi-Markov Decision Problems With Discounted Cost And General Utilities
 
Speaker: Arnab Bhabak, Department of Mathematics, IIT Guwahati
 
Time and Date: 11AM, 19th April, 2023
 
Venue: Seminar Hall, Second floor, IEOR building. 
 
Abstract:  In this talk, we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite horizon problems. Using a state augmentation technique we characterize the value functions and also prescribe optimal controls.
 
Bio: Arnab Bhabak has recently submitted his  PhD thesis titled  " Stochastic Control Problems with Probability and Risk-sensitive Criteria". His interests are in stochastic control and stochastic dynamic games.
 
Host: Prof. Mallikarjuna Rao.