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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F12%3A00377685%21RIV13-AV0-67985556
rdf:type
n7:Vysledek skos:Concept
dcterms: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.
dcterms: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
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
skos:notation
RIV/67985556:_____/12:00377685!RIV13-AV0-67985556
n7:predkladatel
n14:ico%3A67985556
n4:aktivita
n6:P n6:I
n4:aktivity
I, P(GAP402/10/0956), P(GAP402/11/0150)
n4:dodaniDat
n13:2013
n4:domaciTvurceVysledku
n20:6105955
n4:druhVysledku
n21:D
n4:duvernostUdaju
n12:S
n4:entitaPredkladatele
n9:predkladatel
n4:idSjednocenehoVysledku
165703
n4:idVysledku
RIV/67985556:_____/12:00377685
n4:jazykVysledku
n19:eng
n4:klicovaSlova
discrete-time Markov decision chains; exponential utility functions; risk-sensitive coefficient; connections between risk-sensitive and risk-neutral models
n4:klicoveSlovo
n10:risk-sensitive%20coefficient n10:exponential%20utility%20functions n10:connections%20between%20risk-sensitive%20and%20risk-neutral%20models n10:discrete-time%20Markov%20decision%20chains
n4:kontrolniKodProRIV
[A9E489B90A81]
n4:mistoKonaniAkce
Bratislava
n4:mistoVydani
Bratislava
n4:nazevZdroje
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI)
n4:obor
n16:BB
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
1
n4:projekt
n15:GAP402%2F11%2F0150 n15:GAP402%2F10%2F0956
n4:rokUplatneniVysledku
n13:2012
n4:tvurceVysledku
Sladký, Karel
n4:typAkce
n8:EUR
n4:wos
000307520000034
n4:zahajeniAkce
2012-05-30+02:00
s:numberOfPages
5
n17:hasPublisher
Vydavatelstvo EKONÓM
n3:isbn
978-80-225-3426-0