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Bibliografie

Conference Paper (Czech conference)

Risk-Sensitive and Average Optimality in Markov Decision Processes

Sladký Karel

: Proceedings of 30th International Conference Mathematical Methods in Economics 2012, p. 799-804 , Eds: Ramík Jaroslav, Stavárek Daniel

: 30th International Conference Mathematical Methods in Economics 2012, (Karviná, CZ, 11.09.2012-13.09.2012)

: GAP402/10/0956, GA ČR, GAP402/11/0150, GA ČR

: dynamic programming, stochastic models, risk analysis and management

: http://library.utia.cas.cz/separaty/2012/E/Sladky-risk-sensitive and average optimality in markov decision processes.pdf

(eng): This contribution is devoted to the risk-sensitive optimality criteria in finite state Markov Decision Processes. At first, we rederive necessary and sufficient conditions for average optimality of (classical) risk-neutral unichain models. This approach is then extended to the risk-sensitive case, i.e., when expectation of the stream of one-stage costs (or rewards) generated by a Markov chain is evaluated by an exponential utility function. We restrict ourselves on irreducible or unichain Markov models where risk-sensitive average optimality is independent of the starting state. As we show this problem is closely related to solution of (nonlinear) Poissonian equations and their connections with nonnegative matrices.

: BB

07.01.2019 - 08:39