Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14330%2F18%3A00108288" target="_blank" >RIV/00216224:14330/18:00108288 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1145/3209108.3209176" target="_blank" >http://dx.doi.org/10.1145/3209108.3209176</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1145/3209108.3209176" target="_blank" >10.1145/3209108.3209176</a>
Alternative languages
Result language
angličtina
Original language name
Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes
Original language description
We present the conditional value-at-risk (CVaR) in the context of Markov chains and Markov decision processes with reachability and mean-payoff objectives. CVaR quantifies risk by means of the expectation of the worst p-quantile. As such it can be used to design risk-averse systems. We consider not only CVaR constraints, but also introduce their conjunction with expectation constraints and quantile constraints (value-at-risk, VaR). We derive lower and upper bounds on the computational complexity of the respective decision problems and characterize the structure of the strategies in terms of memory and randomization.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
<a href="/en/project/GA18-11193S" target="_blank" >GA18-11193S: Algorithms for Infinite-State Discrete Systems and Games</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 33rd Annual ACM/IEEE Symposium on Logic in Computer Science (LICS '18)
ISBN
9781450355834
ISSN
1043-6871
e-ISSN
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Number of pages
10
Pages from-to
609-618
Publisher name
ACM
Place of publication
New York, NY, USA
Event location
New York, NY, USA
Event date
Jan 1, 2018
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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