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Solving Growth Rates and Average Optimality in Risk-Sensitive Markov Decision Chains
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SYSNO ASEP 0333145 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Solving Growth Rates and Average Optimality in Risk-Sensitive Markov Decision Chains Title Výpočet míry růstu and optimality v průměru v markovských rozhodovacích řetězcích za rizika Author(s) Sladký, Karel (UTIA-B) RID Source Title Proceedings of 1st International Conference on Applied Mathematics. - Almoloya de Juárey, Edo de México : Universidad Politécnica del Valle de Toluca, 2009 / Díaz Nunez J. J. ; Carmona R. G. ; Leal J. S. ; Ramos C. D. ; Rodríguez M. A. ; ére González L. A. ; Castillo Rubi M. A. Pages s. 27-60 Number of pages 34 s. Publication form www - www Action 1st International Conference on Applied Mathematics Event date 04.11.2009-06.11.2009 VEvent location Almoloya, Edo. de México Country MX - Mexico Event type WRD Language eng - English Country MX - Mexico Keywords risk-sensitive Markov decision chains ; growth rate ; average optimality Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/08/0107 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation The study of risk-sensitive Markov decision processes is usually restricted to processes with a single class of recurrent state and no transient states. Moreover, the analysis was restricted only to discrete-time models, only little attention, if any, was devoted to the continuous-time models. The aim of this article is to extend the analysis to models with transient states as well as to multichain Markov processes both in discrete- and continuous-time setting. Our analysis is based on more general models of stochastic dynamic programming where transition probability matrices are replaced by general nonnegative matrices (discrete-time case) or by matrices with nonnegative off-diagonal entries (continuous-time case). Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2010
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