Název: Second Order Optimality in Markov and Semi-Markov Decision Processes
Autoři: Sladký, Karel
Typ dokumentu: Příspěvky z konference
Konference/Akce: MME 2019: International Conference on Mathematical Methods in Economics /37./, České Budějovice (CZ), 20190911
Rok: 2019
Jazyk: eng
Abstrakt: Semi-Markov decision processes can be considered as an extension of discrete- and continuous-time Markov reward models. Unfortunately, traditional optimality criteria as long-run average reward per time may be quite insufficient to characterize the problem from the point of a decision maker. To this end it may be preferable if not necessary to select more sophisticated criteria that also reflect variability-risk features of the problem. Perhaps the best known approaches stem from the classical work of Markowitz on mean-variance selection rules, i.e. we optimize the weighted sum of average or total reward and its variance. Such approach has been already studied for very special classes of semi-Markov decision processes, in particular, for Markov decision processes in discrete - and continuous-time setting. In this note these approaches are summarized and possible extensions to the wider class of semi-Markov decision processes is discussed. Attention is mostly restricted to uncontrolled models in which the chain is aperiodic and contains a single class of recurrent states. Considering finite time horizons, explicit formulas for the first and second moments of total reward as well as for the corresponding variance are produced.
Klíčová slova: average reward and variance over time; discrete and continuous-time Markov reward chains; risk-sensitive optimality; semi-Markov processes with rewards
Číslo projektu: GA18-02739S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019, ISBN 978-80-7394-760-6

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2019/E/sladky-0517875.pdf
Původní záznam: http://hdl.handle.net/11104/0303159

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-408972


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference
 Záznam vytvořen dne 2020-01-13, naposledy upraven 2020-03-26.


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