Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach

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
Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach
Original language 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 givenrisk 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.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI)
ISBN
978-80-225-3426-0
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
201-205
Publisher name
Vydavatelstvo EKONÓM
Place of publication
Bratislava
Event location
Bratislava
Event date
May 30, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000307520000034

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