0380743 20240111140819.920120927235959.9 000316715900137 6 s. C cav_un_epca*0380742978-80-7248-779-0799-804KarvináSilesian University in Opava, School of Busines Administration in Karviná2012RamíkJaroslavStavárekDaniel dynamic programming stochastic models risk analysis and management cav_un_auth*0101196 Sladký Karel Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2012/E/Sladky-risk-sensitive and average optimality in markov decision processes.pdf 90 kByte GAP402/10/0956 GA ČR cav_un_auth*0263482 GAP402/11/0150 GA ČR cav_un_auth*0273629 This contribution is devoted to the risk-sensitive optimality criteria in finite state Markov Decision Processes. At first, we rederive necessary and sufficient conditions for average optimality of (classical) risk-neutral unichain models. This approach is then extended to the risk-sensitive case, i.e., when expectation of the stream of one-stage costs (or rewards) generated by a Markov chain is evaluated by an exponential utility function. We restrict ourselves on irreducible or unichain Markov models where risk-sensitive average optimality is independent of the starting state. As we show this problem is closely related to solution of (nonlinear) Poissonian equations and their connections with nonnegative matrices. cav_un_auth*0283511 30th International Conference Mathematical Methods in Economics 2012 Karviná 11.09.2012-13.09.2012 CZ 2013 BB 1 PR RVO:67985556 http://hdl.handle.net/11104/0211374 2012 000316715900137 WOS 90 kByte cav_un_epca*0380742 Proceedings of 30th International Conference Mathematical Methods in Economics 2012 978-80-7248-779-0 799 804 Proceedings of 30th International Conference Mathematical Methods in Economics 2012 Karviná Silesian University in Opava, School of Busines Administration in Karviná 2012 Ramík Jaroslav 340 Stavárek Daniel 340