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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F12%3A00380743%21RIV13-AV0-67985556
rdf:type
skos:Concept n9:Vysledek
dcterms: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.
dcterms:title
Risk-Sensitive and Average Optimality in Markov Decision Processes Risk-Sensitive and Average Optimality in Markov Decision Processes
skos:prefLabel
Risk-Sensitive and Average Optimality in Markov Decision Processes Risk-Sensitive and Average Optimality in Markov Decision Processes
skos:notation
RIV/67985556:_____/12:00380743!RIV13-AV0-67985556
n9:predkladatel
n10:ico%3A67985556
n4:aktivita
n15:I n15:P
n4:aktivity
I, P(GAP402/10/0956), P(GAP402/11/0150)
n4:dodaniDat
n8:2013
n4:domaciTvurceVysledku
n5:6105955
n4:druhVysledku
n18:D
n4:duvernostUdaju
n13:S
n4:entitaPredkladatele
n16:predkladatel
n4:idSjednocenehoVysledku
165702
n4:idVysledku
RIV/67985556:_____/12:00380743
n4:jazykVysledku
n17:eng
n4:klicovaSlova
dynamic programming; stochastic models; risk analysis and management
n4:klicoveSlovo
n6:dynamic%20programming n6:risk%20analysis%20and%20management n6:stochastic%20models
n4:kontrolniKodProRIV
[79276CA7D451]
n4:mistoKonaniAkce
Karviná
n4:mistoVydani
Karviná
n4:nazevZdroje
Proceedings of 30th International Conference Mathematical Methods in Economics 2012
n4:obor
n14:BB
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
1
n4:projekt
n19:GAP402%2F11%2F0150 n19:GAP402%2F10%2F0956
n4:rokUplatneniVysledku
n8:2012
n4:tvurceVysledku
Sladký, Karel
n4:typAkce
n20:CST
n4:zahajeniAkce
2012-09-11+02:00
s:numberOfPages
6
n12:hasPublisher
Silesian University in Opava, School of Busines Administration in Karviná
n11:isbn
978-80-7248-779-0