0480036 20240103214747.020171019235959.9 000427151400117 6 s. E cav_un_epca*0477966978-80-7435-678-0684-689Hradec KrálovéUniversity of Hradec Králové2017 two-person Markov games communicating Markov chains risk-sensitive optimality dynamic programming cav_un_auth*0101196 Ekonometrie Department of Econometrics E E Department of Econometrics 50% Sladký Karel UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0353160 50% Martínez Cortés V. M. MX http://library.utia.cas.cz/separaty/2017/E/sladky-0480036.pdf cav_un_auth*0292652 GA13-14445S GA ČR The article is devoted to risk-sensitive optimality in Markov games. Attention is focused on Markov games evolving on communicating Markov chains with two-players with opposite aims. Considering risk-sensitive optimality criteria means that total reward generated by the game is evaluated by exponential utility function with a given risk-sensitive coefficient. In particular, the first player (resp. the secondplayer) tries to maximize (resp. minimize) the long-run risk sensitive average reward. Observe that if the second player is dummy, the problem is reduced to finding optimal policy of the Markov decision chain with the risk-sensitive optimality. Recall that for the risk sensitivity coefficient equal to zero we arrive at traditional optimality criteria. In this article, connections between risk-sensitive and risk-neutral Markov decisionchains and Markov games models are studied using discrepancy functions. Explicit formulae for bounds on the risk-sensitive average long-run reward are reported. Policy iteration algorithm for finding suboptimal policies of both players is suggested. The obtained results are illustrated on numerical example. cav_un_auth*0346896 MME 2017. International Conference Mathematical Methods in Economics /35./ 20170913 20170915 Hradec Králové CZ AH 50000 50200 50202 2018 2 PR RVO:67985556 http://hdl.handle.net/11104/0276771 cav_un_auth*0351946 Department of Mathematics, Autonomous Metropolitan University, Iztapalapa Campus, Mexico UAM MX S n.a. Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods n.a. Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods n.a. Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods 2017 ISBN 978-80-7435-678-0 SCOPUS PUBMED 000427151400117 WOS cav_un_epca*0477966 Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017) 978-80-7435-678-0 684 689 Hradec Králové University of Hradec Králové 2017