Název: Central Moments and Risk-Sensitive Optimality in Markov Reward Processes
Autoři: Sladký, Karel
Typ dokumentu: Příspěvky z konference
Konference/Akce: MME 2021: International Conference on Mathematical Methods in Economics /39./, Prague (CZ), 20210908
Rok: 2021
Jazyk: eng
Abstrakt: In this note we consider discrete- and continuous-time Markov decision processes with finite state space. There is no doubt that usual optimality criteria examined in the literature on optimization of Markov reward processes, e.g. total discounted or mean reward, may be quite insufficient to select more sophisticated criteria that reflect also the variability-risk features of the problem. In this note we focus on models where the stream of rewards generated by the Markov process is evaluated by an exponential utility function with a given risk sensitivity coefficient (so-called risk-sensitive models).For the risk sensitive case, i.e. if the considered risk-sensitivity coefficient is non-zero, we establish explicit formulas for growth rate of expectation of the exponential utility function. Recall that in this case along with the total reward also it higher moments are taken into account. Using Taylor expansion of the utility function we present explicit formulas for calculating variance a higher central moments of the total reward generated by the |Markov reward process along with its asymptotic behaviour.
Klíčová slova: discrete- and continuous-time Markov reward chains; exponential utility; moment generating functions
Číslo projektu: GA18-02739S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: MME 2021, 39th International Conference on Mathematical Methods in Economics. Conference Proceedings, ISBN 978-80-213-3126-6

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/2024/E/sladky-0583660.pdf
Původní záznam: https://hdl.handle.net/11104/0352094

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-542035


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference