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Risk-Sensitive Average Optimality in Markov Decision Chains
We focus attention on of the asymptotic behavior of the expected utility and the corresponding certainty equivalents in discrete-time Markov decision chains with finite state and action spaces and the risk-sensitive (expone...
AH - Ekonomie
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach
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-c...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- D
Rok uplatnění
D - Stať ve sborníku
Markov decision chains in discrete- and continuous-time; a unified approach
In this note we consider Markov decision chains with finite state space in discrete- and continuous-time setting for discounting and averaging optimality criteria. Connections between discounted and averaging optimality alo...
AH - Ekonomie
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Algorithmic procedures for mean variance optimality in Markov decision chains
In this note we discussed some algorithmic procedures for finding optimal policies of Markov decision chains with respect to various mean variance optimality criteria. To this end, we present formulas for the growth rate an...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Conditional Value-at-Risk for Reachability and Mean Payoff in Markov Decision Processes
We present the conditional value-at-risk (CVaR) in the context of Markov chains and Markov decision processes with reachability and mean-payoff objectives. CVaR quantifies risk by means of the expectation of the wo...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Constrained Risk-Sensitive Markov Decision Chains
For a classical Markov decision chain we suppose that the streams of transition rewards are evaluated by an exponential utility function. Attention is focused on the asymptotic properties of the expected utility and the cor...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
Probabilistic models in management. Markov chains and waiting line models.
on Markov chains are given with elaborated examples from managerial decision making with Markov chains. The Markov property for random sequences, transition probability matrices and recurrence re...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- B
Rok uplatnění
B - Odborná kniha
Sensitivity analysis in normalized Markov decision chains.
Annotation not available...
BD - Teorie informace
- 1994 •
- D
Rok uplatnění
D - Stať ve sborníku
Value convergence in generalized Markov decision chains.
Annotation not available...
BD - Teorie informace
- 1994 •
- D
Rok uplatnění
D - Stať ve sborníku
Effective Analysis of Infinite State Stochastic Processes and Games
We consider the classes of Markov chains, Markov decision processes, and stochastic games definable by pushdown automata with probabilistic and non-deterministic choice. We give an overview of the existing results ...
IN - Informatika
- 2010 •
- C
Rok uplatnění
C - Kapitola v odborné knize
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