Author

Nicola Sassone

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Preprint Jul 2026

Jacobi-like relative value iteration algorithms for ergodic risk-sensitive control of Markov chains

Under the assumption that the DTMC is irreducible and recurrent under every stationary Markov policy, it is proved that the iterates of the proposed RVI algorithms converge at a geometric rate.

Sumith Reddy Anugu, Guo-Dong Pang, Nicola Sassone · 1 citation