| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0380743 |
| utime |
20240111140819.9 |
| mtime |
20120927235959.9 |
| WOS |
000316715900137 |
| title
(primary) (eng) |
Risk-Sensitive and Average Optimality in Markov Decision Processes |
| specification |
| page_count |
6 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0380742 |
| ISBN |
978-80-7248-779-0 |
| title
|
Proceedings of 30th International Conference Mathematical Methods in Economics 2012 |
| page_num |
799-804 |
| publisher |
| place |
Karviná |
| name |
Silesian University in Opava, School of Busines Administration in Karviná |
| year |
2012 |
|
| editor |
| name1 |
Ramík |
| name2 |
Jaroslav |
|
| editor |
| name1 |
Stavárek |
| name2 |
Daniel |
|
|
| keyword |
dynamic programming |
| keyword |
stochastic models |
| keyword |
risk analysis and management |
| 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 |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| project |
| project_id |
GAP402/11/0150 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0273629 |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0283511 |
| name |
30th International Conference Mathematical Methods in Economics 2012 |
| place |
Karviná |
| dates |
11.09.2012-13.09.2012 |
| country |
CZ |
|
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0211374 |
| arlyear |
2012 |
| mrcbU34 |
000316715900137 WOS |
| mrcbU56 |
90 kByte |
| mrcbU63 |
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 |
| mrcbU67 |
Ramík Jaroslav 340 |
| mrcbU67 |
Stavárek Daniel 340 |
|