| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0480036 |
| utime |
20240103214747.0 |
| mtime |
20171019235959.9 |
| WOS |
000427151400117 |
| title
(primary) (eng) |
Risk-Sensitive Optimality in Markov Games |
| specification |
| page_count |
6 s. |
| media_type |
E |
|
| serial |
| ARLID |
cav_un_epca*0477966 |
| ISBN |
978-80-7435-678-0 |
| title
|
Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017) |
| page_num |
684-689 |
| publisher |
| place |
Hradec Králové |
| name |
University of Hradec Králové |
| year |
2017 |
|
|
| keyword |
two-person Markov games |
| keyword |
communicating Markov chains |
| keyword |
risk-sensitive optimality |
| keyword |
dynamic programming |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50% |
| name1 |
Sladký |
| name2 |
Karel |
| institution |
UTIA-B |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0353160 |
| share |
50% |
| name1 |
Martínez Cortés |
| name2 |
V. M. |
| country |
MX |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292652 |
| project_id |
GA13-14445S |
| agency |
GA ČR |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0346896 |
| name |
MME 2017. International Conference Mathematical Methods in Economics /35./ |
| dates |
20170913 |
| mrcbC20-s |
20170915 |
| place |
Hradec Králové |
| country |
CZ |
|
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2018 |
| num_of_auth |
2 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0276771 |
| cooperation |
| ARLID |
cav_un_auth*0351946 |
| name |
Department of Mathematics, Autonomous Metropolitan University, Iztapalapa Campus, Mexico |
| institution |
UAM |
| country |
MX |
|
| confidential |
S |
| mrcbC86 |
n.a. Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods |
| mrcbC86 |
n.a. Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods |
| mrcbC86 |
n.a. Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods |
| arlyear |
2017 |
| mrcbU12 |
ISBN 978-80-7435-678-0 |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000427151400117 WOS |
| mrcbU63 |
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 |
|