| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0393337 |
| utime |
20240103202653.3 |
| mtime |
20140314235959.9 |
| title
(primary) (eng) |
Cumulative Optimality in Risk-Sensitive and Risk-Neutral Markov Reward Chains |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0395722 |
| ISBN |
978-80-87035-76-4 |
| title
|
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013 |
| publisher |
| place |
Jihlava |
| name |
College of Polytechnics Jihlava |
| year |
2013 |
|
| editor |
| name1 |
Vojáčková |
| name2 |
Hana |
|
|
| 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 |
GA13-14445S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0292652 |
|
| project |
| project_id |
GAP402/11/0150 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0273629 |
|
| abstract
(eng) |
This contribution is devoted to risk-sensitive and risk-neutral optimality in Markov decision chains. Since the traditional optimality criteria (e.g. discounted or average rewards) cannot reflect the variability-risk features of the problem, and using the mean variance selection rules that stem from the classical work of Markowitz present some technical difficulties, we are interested in expectation of the stream of rewards generated by the Markov chain that is evaluated by an exponential utility function with a given risk sensitivity coefficient. Recall that for the risk sensitivity coefficient equal zero we arrive at¨traditional optimality criteria. In this note we present necessary and sufficient risk-sensitivity and risk-neutral optimality conditions; in detail for unichain models and indicate their generalization to multichain Markov reward chains. |
| action |
| ARLID |
cav_un_auth*0292039 |
| name |
MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./ |
| place |
Jihlava |
| dates |
11.09.2013-13.09.2013 |
| country |
CZ |
|
| reportyear |
2014 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0222069 |
| mrcbC61 |
1 |
| confidential |
S |
| arlyear |
2013 |
| mrcbU63 |
cav_un_epca*0395722 Proceedings of the 31st International Conference Mathematical Methods in Economics 2013 978-80-87035-76-4 Jihlava College of Polytechnics Jihlava 2013 |
| mrcbU67 |
Vojáčková Hana 340 |
|