Cumulative Optimality in Risk-Sensitive and Risk-Neutral Markov Reward 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
Cumulative Optimality in Risk-Sensitive and Risk-Neutral Markov Reward Chains
Original language description
This contribution is devoted to risk-sensitive and risk-neutral optimality in Markov decision chains. Since the traditional optimality criteria (e.g. discounted or average rewards) cannot reflect the variability-risk features of the problem, and using the mean variance selection rules that stem from the classical work of Markowitz present some technical difficulties, we are interested in expectation of the stream of rewards generated by the Markov chain that is evaluated by an exponential utility function with a given risk sensitivity coefficient. Recall that for the risk sensitivity coefficient equal zero we arrive attraditional optimality criteria. In this note we present necessary and sufficient risk-sensitivity and risk-neutral optimality conditions; in detail for unichain models and indicate their generalization to multichain Markov reward chains.
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
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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