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Some Remarks on Risk-Sensitive Optimality Criteria in Markov Decision Processes
In this note we focus attention on discrete-time Markov decision processes with risk-sensitive optimality criteria (i.e. the case when the stream of rewards generated by the Markov processes
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
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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
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D - Stať ve sborníku
Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes
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 (
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- Jx
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Risk-sensitive Average Optimality in Markov Decision Processes
-sensitive optimality criteria in Markov decision chains. To this end we assume that the total reward generated by the Markov process is evaluated by an exponential utility function with a given risk
Statistics and probability
- 2018 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
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Risk-sensitive and Mean Variance Optimality in Continuous-time Markov Decision Chains
processes is evaluated by an exponential utility function with a given risk sensitivitycoefficient (so-called risk-sensitive models). If the risk sensitivity coefficient equals zero (risk
Economic Theory
- 2018 •
- D
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D - Stať ve sborníku
Risk-Sensitive Optimality Criteria in Markov Decision Processes
The usual optimization criteria for Markov decision processes can be quite unsufficient to fully capture the various aspects of a decision maker. It may be preferable to select more sophisticated criteria that also...
BB - Aplikovaná statistika, operační výzkum
- 2007 •
- D
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D - Stať ve sborníku
Risk-Sensitive and Average Optimality in Markov Decision Processes
This contribution is devoted to the risk-sensitive optimality criteria in finite state Markov Decision Processes. At first, we rederive necessary. This approachis then extended to the risk-sen...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- D
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D - Stať ve sborníku
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
AH - Ekonomie
- 2008 •
- D
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D - Stať ve sborníku
Central Moments and Risk-Sensitive Optimality in Continuous-Time Markov Reward Processes
In this note we consider continuous-time Markov decision processes with finite state space where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function with...
Statistics and probability
- 2020 •
- O
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O - Ostatní výsledky
Central Moments and Risk-Sensitive Optimality in Markov Reward Processes
In this note we consider discrete- and continuous-time Markov decision examined in the literature on optimization of Markov reward processes, e.g. total we focus on models where the stream of rewards generated by t...
Statistics and probability
- 2021 •
- D
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D - Stať ve sborníku
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