About: Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this note we consider Markov decision chains with finite state space and compact actions spaces where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function (so-called risk-sensitive model) with a given risk sensitivity coefficient. If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision chain. Necessary and sufficient optimality conditions along with equations for average optimal policies both for risk-neutral and risk-sensitive models will be presented and connections and similarity between these approaches will be discussed. In this note we consider Markov decision chains with finite state space and compact actions spaces where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function (so-called risk-sensitive model) with a given risk sensitivity coefficient. If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision chain. Necessary and sufficient optimality conditions along with equations for average optimal policies both for risk-neutral and risk-sensitive models will be presented and connections and similarity between these approaches will be discussed. (en)
Title	Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach (en)
skos:prefLabel	Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach (en)
skos:notation	RIV/67985556:_____/12:00377685!RIV13-AV0-67985556
http://linked.open...avai/predkladatel	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP402/10/0956), P(GAP402/11/0150)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Sladký, Karel
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	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	165703
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/12:00377685
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	discrete-time Markov decision chains; exponential utility functions; risk-sensitive coefficient; connections between risk-sensitive and risk-neutral models (en)
http://linked.open.../riv/klicoveSlovo	connections between risk-sensitive and risk-neutral models discrete-time Markov decision chains exponential utility functions risk-sensitive coefficient
http://linked.open...ontrolniKodProRIV	[A9E489B90A81]
http://linked.open...v/mistoKonaniAkce	Bratislava
http://linked.open...i/riv/mistoVydani	Bratislava
http://linked.open...i/riv/nazevZdroje	Quantitative Methods in Economics (Multiple Criteria Decision Making XVI)
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	The Interplay of Theory and Applications in Stochastic Decision Problems Stochastic Economic Models under Uncertainty: Development over Time and Optimization
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Sladký, Karel
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000307520000034
http://linked.open.../riv/zahajeniAkce	2012-05-30 (xsd:date)
number of pages	5 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vydavatelstvo EKONÓM
https://schema.org/isbn	978-80-225-3426-0
is http://linked.open...avai/riv/vysledek of	Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach

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