Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F13%3A00399099" target="_blank" >RIV/67985556:_____/13:00399099 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes

Original language description

In this paper we consider unichain Markov decision processes 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 with a given risk sensitivity coefficient (so-called risk-sensitive models). If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision process. Then we can easily obtain necessary and sufficient mean reward optimality conditions and thevariability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case we establish necessary and sufficient optimality conditions for maximal (or minimal) growth rate of expectation of the exponential utility function,along with mean value of the corresponding certainty equivalent, that take into account not only the expected values of the total reward but also its higher moments.

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

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

Name of the periodical

Acta Oeconomica Pragensia

ISSN

0572-3043

e-ISSN

—

Volume of the periodical

7

Issue of the periodical within the volume

3

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

16

Pages from-to

146-161

UT code for WoS article

—

EID of the result in the Scopus database

—