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 |
|