Search results
- 1.0493556 - ÚTIA 2019 RIV CZ eng K - Conference Paper (Czech conference)
Sladký, Karel
Risk-sensitive and Mean Variance Optimality in Continuous-time Markov Decision Chains.
36th International Conference Mathematical Methods in Economics. Praha: MatfyzPress, 2018 - (Váchová, L.; Kratochvíl, V.), s. 497-512. ISBN 978-80-7378-371-6.
[36th International Conference Mathematical Methods in Economics. Jindřichův Hradec (CZ), 12.09.2018-14.09.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : continuous-time Markov decision chains * exponential utility functions * certainty equivalent * mean-variance optimality * connections between risk-sensitive and risk-neutral optimality
OECD category: Economic Theory
http://library.utia.cas.cz/separaty/2018/E/sladky-0493556.pdf
Permanent Link: http://hdl.handle.net/11104/0286979 - 2.0485146 - ÚTIA 2018 RIV CZ eng J - Journal Article
Sladký, Karel
Second Order Optimality in Markov Decision Chains.
Kybernetika. Roč. 53, č. 6 (2017), s. 1086-1099. ISSN 0023-5954
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : Markov decision chains * second order optimality * optimalilty conditions for transient, discounted and average models * policy and value iterations
OECD category: Statistics and probability
Impact factor: 0.632, year: 2017
http://library.utia.cas.cz/separaty/2017/E/sladky-0485146.pdf
Permanent Link: http://hdl.handle.net/11104/0280354 - 3.0432654 - ÚTIA 2015 RIV CZ eng C - Conference Paper (international conference)
Sladký, Karel
The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality.
32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, Olomouc, 2014, s. 908-913. ISBN 978-80-244-4209-9.
[MME 2014. International Conference Mathematical Methods in Economics /32./. Olomouc (CZ), 10.09.2014-12.09.2014]
R&D Projects: GA ČR GA13-14445S
Grant - others:CONACYT(MX) 171396
Institutional support: RVO:67985556
Keywords : discrete-time Markov decision chains * variance of total discounted rewards * Laurent expansion * mean-variance optimality
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2014/E/sladky-0432654.pdf
Permanent Link: http://hdl.handle.net/11104/0237103 - 4.0410871 - UTIA-B 20020085 DE eng A - Abstract
Sladký, Karel
Optimal solution for undiscounted variance penalized Markov decision chains. Abstract.
Berlin: HumboldtUniversity Berlin, 2002. Mathematical Methods in Economy and Industry. Abstracts. s. 14
[Joint Czech-German-Slovak Conference /12./. 22.07.2002-26.07.2002, Arnstadt]
R&D Projects: GA ČR GA402/02/1015; GA ČR GA402/02/0539
Institutional research plan: CEZ:AV0Z1075907
Keywords : Markov decision chains * optimal policies * mean-variance penalization
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0130958 - 5.0410870 - UTIA-B 20020084 GB eng A - Abstract
Sladký, Karel
Minimum variance criterion in stochastic dynamic programming. Abstract.
Edinburgh: UK Operational Research Society, 2002. International Federation of Operational Research Societies 2002. IFORS 2002. Abstracts. s. 28
[IFORS 2002. 08.07.2002-12.07.2002, Edinburgh]
R&D Projects: GA ČR GA402/02/1015; GA ČR GA402/01/0539
Institutional research plan: CEZ:AV0Z1075907
Keywords : stochastic dynamic programming * Markov decision chains * mean-variance
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0130957 - 6.0410869 - UTIA-B 20020083 CZ eng A - Abstract
Sladký, Karel - Sitař, Milan
Algorithmic procedures for mean-variance optimality in Markov decision chains. Abstract.
Prague: Institute of Information Theory and Automation, 2002. Abstracts of the 24th European Meeting of Statisticians & 14th Prague Conference on Information Theory, Statistical Decision Functions and Random Processes. - (Janžura, M.; Mikosch, T.). s. 322
[EMS 2002. 19.08.2002-23.08.2002, Prague]
R&D Projects: GA ČR GA402/02/1015; GA ČR GA402/01/0539
Institutional research plan: CEZ:AV0Z1075907
Keywords : Markov decision chains * mean-variance * policy iteration
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0130956 - 7.0410551 - UTIA-B 20010020 RIV DE eng C - Conference Paper (international conference)
van Dijk, N. M. - Sladký, Karel
Monotonicity and comparison results for nonnegative dynamic systems.
Berlin: Springer, 2001. ISBN 3-540-41587-4. In: Operations Research. Proceedings 2000. - (Fleischmann, B.; Lasch, R.; Derigs, U.), s. 103-109
[Operations Research 2000. Dresden (DE), 09.09.2000-12.09.2000]
R&D Projects: GA ČR GA402/98/0742; GA ČR GA402/99/1136
Institutional research plan: AV0Z1075907
Keywords : dynamic programming * nonnegative matrices * Markov decision chains
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0130640 - 8.0399099 - ÚTIA 2014 RIV CZ eng J - Journal Article
Sladký, Karel
Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes.
Acta Oeconomica Pragensia. Roč. 7, č. 3 (2013), s. 146-161. ISSN 0572-3043
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150
Grant - others:AVČR a CONACyT(CZ) 171396
Institutional support: RVO:67985556
Keywords : Discrete-time Markov decision chains * exponential utility functions * certainty equivalent * mean-variance optimality * connections between risk-sensitive and risk-neutral models
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/sladky-0399099.pdf
Permanent Link: http://hdl.handle.net/11104/0226807 - 9.0377685 - ÚTIA 2013 RIV SK eng C - Conference Paper (international conference)
Sladký, Karel
Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach.
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI). Bratislava: Vydavatelstvo EKONÓM, 2012 - (Reiff, M.), s. 201-205. ISBN 978-80-225-3426-0.
[Quantitative Methods in Economics (Multiple Criteria Decision Making XVI). Bratislava (SK), 30.05.2012-01.06.2012]
R&D Projects: GA ČR GAP402/11/0150; GA ČR GAP402/10/0956
Institutional support: RVO:67985556
Keywords : discrete-time Markov decision chains * exponential utility functions * risk-sensitive coefficient * connections between risk-sensitive and risk-neutral models
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2012/E/sladky-risk-sensitive and risk-neutral optimality in markov decision chains a unified approach.pdf
Permanent Link: http://hdl.handle.net/11104/0209781 - 10.0348153 - ÚTIA 2011 RIV SK eng C - Conference Paper (international conference)
Sladký, Karel
Markov decision chains in discrete- and continuous-time; a unified approach.
Quantitative Methods in Economics (Multiple Criteria Decision Making XV). Bratislava, SR: University of Economics, Bratislava, 2010 - (Reiff, M.), s. 207-219. Iura Edition, člen skupiny Walters Kluwer. ISBN 978-80-8078-364-8.
[Quantitative Methods in Economics, Multiple Criteria Decision Making XV. Smolenice (SK), 06.10.2010-08.10.2010]
R&D Projects: GA ČR(CZ) GA402/08/0107; GA ČR GAP402/10/0956; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : discrete-time and continuous-time Markov decision chains * discounted and averaging optimality * connections between discounted and averaging models * uniformization
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/sladky-markov decision chains in discrete- and continuous-time; a unified approach.pdf
Permanent Link: http://hdl.handle.net/11104/0188756