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Risk-Sensitive and Average Optimality in Markov Decision Processes

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00380743" target="_blank" >RIV/67985556:_____/12:00380743 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Risk-Sensitive and Average Optimality in Markov Decision Processes

  • Original language 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 approachis 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 modelswhere 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.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • 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

Others

  • Publication year

    2012

  • 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 30th International Conference Mathematical Methods in Economics 2012

  • ISBN

    978-80-7248-779-0

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    799-804

  • Publisher name

    Silesian University in Opava, School of Busines Administration in Karviná

  • Place of publication

    Karviná

  • Event location

    Karviná

  • Event date

    Sep 11, 2012

  • Type of event by nationality

    CST - Celostátní akce

  • UT code for WoS article