About: Solvency Markov Decision Processes with Interest

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://drops.dagstuhl.de/opus/volltexte/2013/4395/pdf/37.pdf
Description	Solvency games, introduced by Berger et al., provide an abstract framework for modeling decisions of a risk-averse investor, whose goal is to avoid ever going broke. We study a new variant of this model, where in addition to stochastic environment and fixed increments and decrements to the investor's wealth we introduce interest, which is earned or paid on the current level of savings or debt, respectively. We concentrate on problems related to the minimum initial wealth sufficient to avoid bankrupting (i.e. steady decrease of the wealth) with probability at least $p$. We present an exponential time algorithm which approximates this minimum initial wealth, and show that a polynomial time approximation is not possible unless P = NP. For the qualitative case, i.e. Solvency games, introduced by Berger et al., provide an abstract framework for modeling decisions of a risk-averse investor, whose goal is to avoid ever going broke. We study a new variant of this model, where in addition to stochastic environment and fixed increments and decrements to the investor's wealth we introduce interest, which is earned or paid on the current level of savings or debt, respectively. We concentrate on problems related to the minimum initial wealth sufficient to avoid bankrupting (i.e. steady decrease of the wealth) with probability at least $p$. We present an exponential time algorithm which approximates this minimum initial wealth, and show that a polynomial time approximation is not possible unless P = NP. For the qualitative case, i.e. (en)
Title	Solvency Markov Decision Processes with Interest Solvency Markov Decision Processes with Interest (en)
skos:prefLabel	Solvency Markov Decision Processes with Interest Solvency Markov Decision Processes with Interest (en)
skos:notation	RIV/00216224:14330/13:00066380!RIV14-GA0-14330___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GPP202/12/P612)
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Brázdil, Tomáš Forejt, Vojtěch Novotný, Petr
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Masarykova univerzita / Fakulta informatiky
http://linked.open...dnocenehoVysledku	106278
http://linked.open...ai/riv/idVysledku	RIV/00216224:14330/13:00066380
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stochastic systems; markov decision processes; reward functions (en)
http://linked.open.../riv/klicoveSlovo	markov decision processes stochastic systems reward functions
http://linked.open...ontrolniKodProRIV	[00091C1E37F0]
http://linked.open...v/mistoKonaniAkce	Guwahátí, Indie
http://linked.open...i/riv/mistoVydani	Dagstuhl, Germany
http://linked.open...i/riv/nazevZdroje	IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science (FSTTCS 2013)
http://linked.open...in/vavai/riv/obor	IN
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	5 (xsd:int)
http://linked.open...vavai/riv/projekt	Formální verifikace stochastických systémů s reálným časem
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Brázdil, Tomáš Forejt, Vojtěch Novotný, Petr Chen, Taolue Simaitis, Aistis
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-01-01 (xsd:date)
issn	1868-8969
number of pages	13 (xsd:int)
http://bibframe.org/vocab/doi	10.4230/LIPIcs.FSTTCS.2013.487
http://purl.org/ne...btex#hasPublisher	IBFI Schloss Dagstuhl
https://schema.org/isbn	9783939897644
http://localhost/t...ganizacniJednotka	14330

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