About: Risk-Sensitive and Average Optimality in Markov Decision Processes

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This contribution is devoted to the risk-sensitive optimality criteria in finite state Markov Decision Processes. At first, we rederive necessary and sufficient conditions for average optimality of (classical) risk-neutral unichain models. This approach is then extended to the risk-sensitive case, i.e., when expectation of the stream of one-stage costs (or rewards) generated by a Markov chain is evaluated by an exponential utility function. We restrict ourselves on irreducible or unichain Markov models where risk-sensitive average optimality is independent of the starting state. As we show this problem is closely related to solution of (nonlinear) Poissonian equations and their connections with nonnegative matrices. This contribution is devoted to the risk-sensitive optimality criteria in finite state Markov Decision Processes. At first, we rederive necessary and sufficient conditions for average optimality of (classical) risk-neutral unichain models. This approach is then extended to the risk-sensitive case, i.e., when expectation of the stream of one-stage costs (or rewards) generated by a Markov chain is evaluated by an exponential utility function. We restrict ourselves on irreducible or unichain Markov models where risk-sensitive average optimality is independent of the starting state. As we show this problem is closely related to solution of (nonlinear) Poissonian equations and their connections with nonnegative matrices. (en)
Title	Risk-Sensitive and Average Optimality in Markov Decision Processes Risk-Sensitive and Average Optimality in Markov Decision Processes (en)
skos:prefLabel	Risk-Sensitive and Average Optimality in Markov Decision Processes Risk-Sensitive and Average Optimality in Markov Decision Processes (en)
skos:notation	RIV/67985556:_____/12:00380743!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	165702
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/12:00380743
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	dynamic programming; stochastic models; risk analysis and management (en)
http://linked.open.../riv/klicoveSlovo	dynamic programming stochastic models risk analysis and management
http://linked.open...ontrolniKodProRIV	[79276CA7D451]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics 2012
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	CST - Celostátní
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Silesian University in Opava, School of Busines Administration in Karviná
https://schema.org/isbn	978-80-7248-779-0
is http://linked.open...avai/riv/vysledek of	Risk-Sensitive and Average Optimality in Markov Decision Processes

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