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  • Práce je věnována diskrétním markovským rozhodovacím procesům se sensitivními kritérii optimality (tj.posloupnost výnosů generovaných markovským procesem je vyhodnocena pomocí exponenciální funkce užitku). Je ukázáno, že tuto úlohu lze řešit jako klasickou úlohu o markovských rozhodovacích procesech za podmínky, že matice pravděpodobnosti přechodů jsou nahrazeny obecnými nezápornými maticemi. Za určitých podmínek ergodicity je navržena metoda postupných aproximací pro nalezení optimálního řízení. (cs)
  • In this note we focus attention on discrete-time Markov decision processes with risk-sensitive optimality criteria (i.e. the case when the stream of rewards generated by the Markov processes is evaluated by an exponential utility function). It is shown that this problem can be studied as a classical Markov decision process on condition that the transition probabilities are replaced by general nonnegative matrices. Under some unichain conditions we suggest a value iteration method for finding optimal policies.
  • In this note we focus attention on discrete-time Markov decision processes with risk-sensitive optimality criteria (i.e. the case when the stream of rewards generated by the Markov processes is evaluated by an exponential utility function). It is shown that this problem can be studied as a classical Markov decision process on condition that the transition probabilities are replaced by general nonnegative matrices. Under some unichain conditions we suggest a value iteration method for finding optimal policies. (en)
Title
  • Some Remarks on Risk-Sensitive Optimality Criteria in Markov Decision Processes
  • Několik poznámek k sensitivním kritériím optimality v markovských rozhodovacích procesech (cs)
  • Some Remarks on Risk-Sensitive Optimality Criteria in Markov Decision Processes (en)
skos:prefLabel
  • Some Remarks on Risk-Sensitive Optimality Criteria in Markov Decision Processes
  • Několik poznámek k sensitivním kritériím optimality v markovských rozhodovacích procesech (cs)
  • Some Remarks on Risk-Sensitive Optimality Criteria in Markov Decision Processes (en)
skos:notation
  • RIV/67985556:_____/06:00047531!RIV07-AV0-67985556
http://linked.open.../vavai/riv/strany
  • 165;173
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/04/1294), P(GA402/05/0115), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 500346
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/06:00047531
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • discrete-time Markov decision processes,; risk-sensitive optimality (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [7DA2681AC46B]
http://linked.open...v/mistoKonaniAkce
  • Bratislava
http://linked.open...i/riv/mistoVydani
  • Bratislava
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the International Conference of Quantitative Methods in Economics. Multiple Criteria Decision MakingXIII
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Sladký, Karel
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Ekonomická univerzita v Bratislave
https://schema.org/isbn
  • 80-8078-129-X
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