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Statements

Subject Item
n2:RIV%2F00216224%3A14330%2F13%3A00066380%21RIV14-GA0-14330___
rdf:type
skos:Concept n17:Vysledek
rdfs:seeAlso
http://drops.dagstuhl.de/opus/volltexte/2013/4395/pdf/37.pdf
dcterms: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.
dcterms:title
Solvency Markov Decision Processes with Interest Solvency Markov Decision Processes with Interest
skos:prefLabel
Solvency Markov Decision Processes with Interest Solvency Markov Decision Processes with Interest
skos:notation
RIV/00216224:14330/13:00066380!RIV14-GA0-14330___
n17:predkladatel
n18:orjk%3A14330
n3:aktivita
n5:P
n3:aktivity
P(GPP202/12/P612)
n3:dodaniDat
n4:2014
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n3:druhVysledku
n23:D
n3:duvernostUdaju
n10:S
n3:entitaPredkladatele
n6:predkladatel
n3:idSjednocenehoVysledku
106278
n3:idVysledku
RIV/00216224:14330/13:00066380
n3:jazykVysledku
n21:eng
n3:klicovaSlova
stochastic systems; markov decision processes; reward functions
n3:klicoveSlovo
n8:stochastic%20systems n8:reward%20functions n8:markov%20decision%20processes
n3:kontrolniKodProRIV
[00091C1E37F0]
n3:mistoKonaniAkce
Guwahátí, Indie
n3:mistoVydani
Dagstuhl, Germany
n3:nazevZdroje
IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science (FSTTCS 2013)
n3:obor
n9:IN
n3:pocetDomacichTvurcuVysledku
3
n3:pocetTvurcuVysledku
5
n3:projekt
n12:GPP202%2F12%2FP612
n3:rokUplatneniVysledku
n4:2013
n3:tvurceVysledku
Chen, Taolue Brázdil, Tomáš Novotný, Petr Simaitis, Aistis Forejt, Vojtěch
n3:typAkce
n22:WRD
n3:zahajeniAkce
2013-01-01+01:00
s:issn
1868-8969
s:numberOfPages
13
n7:doi
10.4230/LIPIcs.FSTTCS.2013.487
n13:hasPublisher
IBFI Schloss Dagstuhl
n20:isbn
9783939897644
n24:organizacniJednotka
14330