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  • For a classical Markov decision chain we suppose that the streams of transition rewards are evaluated by an exponential utility function. Attention is focused on the asymptotic properties of the expected utility and the corresponding certainty equivalents if the optimal values considered with respect to transition rewards must fulfill certain additional constraint on the expected utility or the certainty equivalent generated by different transition rewards. Our analysis is based policy iterations applied on a collection of nonnegative matrices arising in the recursive formulas for the growth of expected utilities.
  • For a classical Markov decision chain we suppose that the streams of transition rewards are evaluated by an exponential utility function. Attention is focused on the asymptotic properties of the expected utility and the corresponding certainty equivalents if the optimal values considered with respect to transition rewards must fulfill certain additional constraint on the expected utility or the certainty equivalent generated by different transition rewards. Our analysis is based policy iterations applied on a collection of nonnegative matrices arising in the recursive formulas for the growth of expected utilities. (en)
Title
  • Constrained Risk-Sensitive Markov Decision Chains
  • Constrained Risk-Sensitive Markov Decision Chains (en)
skos:prefLabel
  • Constrained Risk-Sensitive Markov Decision Chains
  • Constrained Risk-Sensitive Markov Decision Chains (en)
skos:notation
  • RIV/67985556:_____/09:00326474!RIV10-AV0-67985556
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/07/1113), P(GA402/08/0107), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 308124
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  • RIV/67985556:_____/09:00326474
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  • Markov decision chains; exponential utility functions; constraints (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [2EBCA9285FC2]
http://linked.open...v/mistoKonaniAkce
  • Augsburg
http://linked.open...i/riv/mistoVydani
  • Berlin
http://linked.open...i/riv/nazevZdroje
  • Operations Research Proceedings 2008
http://linked.open...in/vavai/riv/obor
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Sladký, Karel
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http://linked.open...n/vavai/riv/zamer
number of pages
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  • Springer-Verlag
https://schema.org/isbn
  • 978-3-642-00141-3
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