About: Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes

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Description	In this paper we consider unichain Markov decision processes 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 with a given risk sensitivity coefficient (so-called risk-sensitive models). If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision process. Then we can easily obtain necessary and sufficient mean reward optimality conditions and the variability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case we establish necessary and sufficient optimality conditions for maximal (or minimal) growth rate of expectation of the exponential utility function,along with mean value of the corresponding certainty equivalent, that take into account not only the expected values of the total reward but also its higher moments. In this paper we consider unichain Markov decision processes 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 with a given risk sensitivity coefficient (so-called risk-sensitive models). If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision process. Then we can easily obtain necessary and sufficient mean reward optimality conditions and the variability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case we establish necessary and sufficient optimality conditions for maximal (or minimal) growth rate of expectation of the exponential utility function,along with mean value of the corresponding certainty equivalent, that take into account not only the expected values of the total reward but also its higher moments. (en)
Title	Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes (en)
skos:prefLabel	Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes (en)
skos:notation	RIV/67985556:_____/13:00399099!RIV14-GA0-67985556
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...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Sladký, Karel
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	103023
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/13:00399099
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Discrete-time Markov decision chains; exponential utility functions; certainty equivalent; mean-variance optimality; connections between risk-sensitive and risk-neutral models (en)
http://linked.open.../riv/klicoveSlovo	Discrete-time Markov decision chains certainty equivalent mean-variance optimality connections between risk-sensitive and risk-neutral models exponential utility functions
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[5C5E66D0C336]
http://linked.open...i/riv/nazevZdroje	Acta Oeconomica Pragensia
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	2013
http://linked.open...v/svazekPeriodika	7
http://linked.open...iv/tvurceVysledku	Sladký, Karel
issn	0572-3043
number of pages	16 (xsd:int)

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