Contractivity of Bellman operator in risk averse dynamic programming with infinite horizon

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00567218" target="_blank" >RIV/67985556:_____/23:00567218 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/23:10472041
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0167637723000081?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0167637723000081?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.orl.2023.01.008" target="_blank" >10.1016/j.orl.2023.01.008</a>

Result language
angličtina
Original language name
Contractivity of Bellman operator in risk averse dynamic programming with infinite horizon
Original language description
The paper deals with a risk averse dynamic programming problem with infinite horizon. First, the required assumptions are formulated to have the problem well defined. Then the Bellman equation is derived, which may be also seen as a standalone reinforcement learning problem. The fact that the Bellman operator is contraction is proved, guaranteeing convergence of various solution algorithms used for dynamic programming as well as reinforcement learning problems, which we demonstrate on the value iteration and the policy iteration algorithms.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA19-11062S" target="_blank" >GA19-11062S: Arbitrage on limit order markets with boundedly rational agents</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)