"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 . . . "Risk-Sensitive and Average Optimality in Markov Decision Processes"@en . "I, P(GAP402/10/0956), P(GAP402/11/0150)" . "Risk-Sensitive and Average Optimality in Markov Decision Processes" . . . "978-80-7248-779-0" . "Silesian University in Opava, School of Busines Administration in Karvin\u00E1" . . . "1"^^ . . . "RIV/67985556:_____/12:00380743!RIV13-AV0-67985556" . . . "[79276CA7D451]" . . "165702" . . . . "Risk-Sensitive and Average Optimality in Markov Decision Processes" . "Proceedings of 30th International Conference Mathematical Methods in Economics 2012" . "RIV/67985556:_____/12:00380743" . "Karvin\u00E1" . . "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." . "Karvin\u00E1" . . . . "Sladk\u00FD, Karel" . "dynamic programming; stochastic models; risk analysis and management"@en . "2012-09-11+02:00"^^ . "6"^^ . . "Risk-Sensitive and Average Optimality in Markov Decision Processes"@en . "1"^^ .