| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0313928 |
| utime |
20240111140708.6 |
| mtime |
20081106235959.9 |
| title
(primary) (eng) |
Risk Sensitive and Mean Variance Optimality in Markov Decision Processes |
| specification |
| page_count |
10 s. |
| media_type |
CD ROM |
|
| serial |
| ARLID |
cav_un_epca*0313927 |
| ISBN |
978-80-7372-387-3 |
| title
|
Proceedings of 26th International Conference Mathematical Methods in Economics 2008 |
| page_num |
452-461 |
| publisher |
| place |
Liberec |
| name |
Technical University of Liberec |
| year |
2008 |
|
| editor |
| name1 |
Řehořová |
| name2 |
Pavla |
|
| editor |
| name1 |
Maršíková |
| name2 |
Kateřina |
|
|
| title
(cze) |
Optimalita za rizika a typu střední hodnota - rozptyl v markovskýách rozhodovacích procesech |
| keyword |
Markov decision chains |
| keyword |
exponential utility functions |
| keyword |
certainty equivalent |
| keyword |
expectation and variance of cumulative rewards |
| keyword |
mean variance optimality |
| keyword |
asymptotic behaviour |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| name1 |
Sladký |
| name2 |
Karel |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101193 |
| name1 |
Sitař |
| name2 |
Milan |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/07/1113 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0228801 |
|
| project |
| project_id |
GA402/08/0107 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0240545 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this note, we compare two aproaches for handling risk-variability features arising in discrete-time Markov decision processes: models with exponential utility function and mean variance optimality models. Computational approaches for finding optimal decision with respect to the optimality criteria mentioned above are presented and analytical results showing connections between the above optimality criteria are discussed. |
| abstract
(cze) |
V příspěvku jsou porovnány dva přístupy pro hodnocení rizika v markovských rozhodovacích procesech: modely s exponenciální účelovou funci a modely typu střední hodnota - rozptyl. Jsou popsány výpočetní metody pro nalezení optimálních rozhodnutí pro výše zmíněná kriteria a diskutují se vzájemné souvislosti výše zmíněných kritérií optimality. |
| action |
| ARLID |
cav_un_auth*0243320 |
| name |
Mathematical Methods in Economics 2008 |
| place |
Liberec |
| dates |
17.09.2008-19.09.2008 |
| country |
CZ |
|
| reportyear |
2009 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0164603 |
| arlyear |
2008 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0313927 Proceedings of 26th International Conference Mathematical Methods in Economics 2008 978-80-7372-387-3 452 461 Sborník 26 mezinárodní konference Matematické metody v ekonomii 2008 Liberec Technical University of Liberec 2008 |
| mrcbU67 |
Řehořová Pavla 340 |
| mrcbU67 |
Maršíková Kateřina 340 |
|