| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0377685 |
| utime |
20240103200954.0 |
| mtime |
20120828235959.9 |
| WOS |
000307520000034 |
| title
(primary) (eng) |
Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach |
| specification |
| page_count |
5 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0377684 |
| ISBN |
978-80-225-3426-0 |
| title
|
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) |
| page_num |
201-205 |
| publisher |
| place |
Bratislava |
| name |
Vydavatelstvo EKONÓM |
| year |
2012 |
|
| editor |
|
|
| keyword |
discrete-time Markov decision chains |
| keyword |
exponential utility functions |
| keyword |
risk-sensitive coefficient |
| keyword |
connections between risk-sensitive and risk-neutral models |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| name1 |
Sladký |
| name2 |
Karel |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/11/0150 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0273629 |
|
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| abstract
(eng) |
In this note we consider Markov decision chains with finite state space and compact actions spaces where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function (so-called risk-sensitive model) with a given risk sensitivity coefficient. If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision chain. Necessary and sufficient optimality conditions along with equations for average optimal policies both for risk-neutral and risk-sensitive models will be presented and connections and similarity between these approaches will be discussed. |
| action |
| ARLID |
cav_un_auth*0281871 |
| name |
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) |
| place |
Bratislava |
| dates |
30.05.2012-01.06.2012 |
| country |
SK |
|
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
PR |
| mrcbC55 |
AH |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0209781 |
| arlyear |
2012 |
| mrcbU34 |
000307520000034 WOS |
| mrcbU63 |
cav_un_epca*0377684 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) 978-80-225-3426-0 201 205 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) Bratislava Vydavatelstvo EKONÓM 2012 |
| mrcbU67 |
Reiff Marian 340 |
|