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Original title:
Risk-Sensitivity and Average Optimality in Markov and Semi-Markov Reward Processes
Authors: Sladký, Karel
Document type: Papers
Conference/Event: INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2020) /38./, Brno (CZ), 20200909
Year: 2020
Language: eng
Abstract: This contribution is devoted to risk-sensitivity in long-run average optimality of Markov and semi-Markov reward processes. Since the traditional average optimality criteria cannot reflect the variability-risk features of the problem, we are interested in more sophisticated approaches where 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 to zero (i.e. the so called risk-neutral case) we arrive at traditional optimality criteria, if the risk sensitivity coefficient is close to zero the Taylor expansion enables to evaluate variability of the generated total reward. Observe that the first moment of the total reward corresponds to expectation of total reward and the second central moment to the reward variance. In this note we present necessary and sufficient risk-sensitivity and risk-neutral optimality conditions for long run risk-sensitive average optimality criterion of unichain Markov and semi-Markov reward processes.
Keywords: exponential utility function; Markov and semi-Markov reward processes; risk sensitivity
Project no.: GA18-02739S (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 38th International Conference on Mathematical Methods in Economics, ISBN 978-80-7509-734-7
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2020/E/sladky-0536246.pdf
Original record: http://hdl.handle.net/11104/0314173
Permalink: http://www.nusl.cz/ntk/nusl-432703
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Sladký, Karel
Document type: Papers
Conference/Event: INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2020) /38./, Brno (CZ), 20200909
Year: 2020
Language: eng
Abstract: This contribution is devoted to risk-sensitivity in long-run average optimality of Markov and semi-Markov reward processes. Since the traditional average optimality criteria cannot reflect the variability-risk features of the problem, we are interested in more sophisticated approaches where 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 to zero (i.e. the so called risk-neutral case) we arrive at traditional optimality criteria, if the risk sensitivity coefficient is close to zero the Taylor expansion enables to evaluate variability of the generated total reward. Observe that the first moment of the total reward corresponds to expectation of total reward and the second central moment to the reward variance. In this note we present necessary and sufficient risk-sensitivity and risk-neutral optimality conditions for long run risk-sensitive average optimality criterion of unichain Markov and semi-Markov reward processes.
Keywords: exponential utility function; Markov and semi-Markov reward processes; risk sensitivity
Project no.: GA18-02739S (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 38th International Conference on Mathematical Methods in Economics, ISBN 978-80-7509-734-7
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2020/E/sladky-0536246.pdf
Original record: http://hdl.handle.net/11104/0314173
Permalink: http://www.nusl.cz/ntk/nusl-432703
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2021-02-24, last modified 2025-02-01