Národní úložiště šedé literatury Nalezeno 49 záznamů.  1 - 10dalšíkonec  přejít na záznam: Hledání trvalo 0.00 vteřin. 
Risk-sensitive and Mean Variance Optimality in Continuous-time Markov Decision Chains
Sladký, Karel
In this note we consider continuous-time Markov decision processes with finite state and actions spaces where the stream of rewards generated by the Markov 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-neutral case) we arrive at a standard Markov decision process. Then we can easily obtain necessary and sufficient mean reward optimality conditions and the variability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case, i.e. if the risk-sensitivity coefficient is non-zero, for a given value of the risk-sensitivity coefficient we establish necessary and sufficient optimality conditions for maximal (or minimal) growth rate of expectation of the exponential utility function, along with mean value of the corresponding certainty equivalent. Recall that in this case along with the total reward also its higher moments are taken into account.
Risk-Sensitive Optimality in Markov Games
Sladký, Karel ; Martínez Cortés, V. M.
The article is devoted to risk-sensitive optimality in Markov games. Attention is focused on Markov games evolving on communicating Markov chains with two-players with opposite aims. Considering risk-sensitive optimality criteria means that total reward generated by the game is evaluated by exponential utility function with a given risk-sensitive coefficient. In particular, the first player (resp. the secondplayer) tries to maximize (resp. minimize) the long-run risk sensitive average reward. Observe that if the second player is dummy, the problem is reduced to finding optimal policy of the Markov decision chain with the risk-sensitive optimality. Recall that for the risk sensitivity coefficient equal to zero we arrive at traditional optimality criteria. In this article, connections between risk-sensitive and risk-neutral Markov decisionchains and Markov games models are studied using discrepancy functions. Explicit formulae for bounds on the risk-sensitive average long-run reward are reported. Policy iteration algorithm for finding suboptimal policies of both players is suggested. The obtained results are illustrated on numerical example.
Stochastic Dynamic Programming Problems: Theory and Applications.
Lendel, Gabriel ; Sladký, Karel (vedoucí práce) ; Lachout, Petr (oponent)
Názov práce: Úlohy stochastického dynamického programování: teorie a aplikace Autor: Gabriel Lendel Katedra: Katedra pravděpodobnosti a matematické statistiky Vedúci diplomovej práce: Ing. Karel Sladký CSc. e-mail vedúceho: sladky@utia.cas.cz Abstrakt: V predloženej práci študujeme riadené Markovove ret'azce s ohodnotením, ktoré umožňujú modelovat' dynamické systémy, ktorých správanie je čiastočne ná- hodné a čiastočne pod kontrolou. Zaoberáme sa zostavením iteračných postupov, kto- rých cielom je nájst' riadenie systému tak, aby bolo optimálne alebo skoro optimálne vzhl'adom k zvolenému kritériu. Konkrétne v práci skúmame hlavne úlohu nájdenia riadenia, ktoré je optimálne vzhl'adom k celkovému očakávanému diskontovanému výnosu alebo priemernému očakávanému výnosu, či pre diskrétne alebo spojité sys- témy. Študujeme algoritmy iterujúce riadenie (policy iteration) a aproximatívne algo- ritmy iterujúce hodnotu (value iteration). Pre vybrané postupy uvádzame numerickú analýzu konkrétnych problémov. Kl'účové slová: Stochastické dynamické programovanie, riadené Markovove ret'azce s ohodnotením, policy iteration, value iteration
Markovovy řetězce vyšších řádů a jejich aplikace v ekonometrii
Straňáková, Alena ; Sladký, Karel (oponent) ; Prášková, Zuzana (vedoucí práce)
In this paper, we generalize Raftery's model of Markov chain to a higher-order multivariate Markov chain model. This model is more suitable for practical applications because of smaller number of independent parameters. We propose a method of estimation of parameters of the model and apply it to the Credit risk measuring of a portfolio. We compute Value at Risk and Expected Shortfall in this portfolio. Theoretical results are applied to real data.
Transient and Average Markov Reward Chains with Applications to Finance
Sladký, Karel
The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the variances for transient and average models are reported along with sketches of algorithmic procedures for finding policies guaranteeing minimal variance in the class of policies with a given transient or average reward. Application of the obtained results to financial models is indicated.
Second Order Optimality in Transient and Discounted Markov Decision Chains
Sladký, Karel
The article is devoted to second order optimality in Markov decision processes. Attention is primarily focused on the reward variance for discounted models and undiscounted transient models (i.e. where the spectral radius of the transition probability matrix is less than unity). Considering the second order optimality criteria means that in the class of policies maximizing (or minimizing) total expected discounted reward (or undiscounted reward for the transient model) we choose the policy minimizing the total variance. Explicit formulae for calculating the variances for transient and discounted models are reported along with sketches of algoritmic procedures for finding second order optimal policies.
The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality
Sladký, Karel
In this paper we consider discounted Markov decision processes with finite state space and compact actions spaces. We present formulas for the variance of total expected discounted rewards along with its partial Laurent expansion. This enables to compare the obtained results with similar results for undiscounted models.
Cumulative Optimality in Risk-Sensitive and Risk-Neutral Markov Reward Chains
Sladký, Karel
This contribution is devoted to risk-sensitive and risk-neutral optimality in Markov decision chains. Since the traditional optimality criteria (e.g. discounted or average rewards) cannot reflect the variability-risk features of the problem, and using the mean variance selection rules that stem from the classical work of Markowitz present some technical difficulties, we are interested in expectation of the stream of rewards generated by the Markov chain that is evaluated by an exponential utility function with a given risk sensitivity coefficient. Recall that for the risk sensitivity coefficient equal zero we arrive at¨traditional optimality criteria. In this note we present necessary and sufficient risk-sensitivity and risk-neutral optimality conditions; in detail for unichain models and indicate their generalization to multichain Markov reward chains.
Výzkum a vývoj systémů využívajících obnovitelné zdroje energie a potenciál úspor energie pro bytové a rodinné domy: Vývoj stavebnictví a využívání OZE ve výstavbě
Eurosolar CZ ; Inter-projekt ; ŽDB - závod Viadrus ; UniServis Hašek ; Aton centrum ; POWER SERVICE ; Solar-Dynamics ; Společnost pro techniku prostředí ; CZ BIOM - České sdružení pro biomasu, Praha ; Československá společnost pro sluneční energii, Praha ; Česká společnost pro větrnou energii, Praha ; Asociace pro využití obnovitelných zdrojů energie ; Tomeš, Petr ; Čimbura, Vlastislav ; Dubový, Jan ; Škarpa, Miroslav ; Havlíček, Michal ; Kramoliš, Petr ; Karásek, Dalibor ; Němeček, Josef ; Smrž, Milan ; Mizik, Josef ; Šafařík, Miroslav ; Tywoniak, Jan ; Pešat, Jan ; Hašek, Ilja ; Slejška, Antonín ; Šíma, Antonín ; Petříková, Vlasta ; Kutil, Antonín ; Novotný, Václav ; Židlický, Jiří ; Kottnauer, Antonín ; Peterka, Jaroslav ; Matuška, Tomáš ; Kuřina, Jiří ; Hošek, Jiří ; Sladký, Karel ; Váňa, Jaroslav ; Michalička, Ladislav ; Štekl, Josef ; Motlík, Jan
Rekapitulace řešení projektu v roce 2001 seznam autorů, kteří se na řešení projektu v roce 2001 podíleli. I. Část. Vývoj stavebnictví a využívání OZE ve výstavbě: Tepelně-technické vlastnosti obytných budov. Možnosti porovnání různých opatření k racionálnímu zacházení s energií v budově. Vývoj a trendy v bytové výstavbě. Popis projektu, cíle, plány a hlavní směry řešení úkolu.

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