Constrained Risk-Sensitive Markov Decision Chains

Result code in IS VaVaI

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Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Constrained Risk-Sensitive Markov Decision Chains

Original language description

For a classical Markov decision chain we suppose that the streams of transition rewards are evaluated by an exponential utility function. Attention is focused on the asymptotic properties of the expected utility and the corresponding certainty equivalents if the optimal values considered with respect to transition rewards must fulfill certain additional constraint on the expected utility or the certainty equivalent generated by different transition rewards. Our analysis is based policy iterations applied on a collection of nonnegative matrices arising in the recursive formulas for the growth of expected utilities.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Operations Research Proceedings 2008

ISBN

978-3-642-00141-3

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

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Publisher name

Springer

Place of publication

Berlin

Event location

Augsburg

Event date

Sep 3, 2008

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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