Displaying similar documents to “About stability of risk-seeking optimal stopping”

On an algorithm for testing T4 solvability of max-plus interval systems

Helena Myšková (2012)

Kybernetika

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In this paper, we shall deal with the solvability of interval systems of linear equations in max-plus algebra. Max-plus algebra is an algebraic structure in which classical addition and multiplication are replaced by ⊕ and ⊗ , where a ⊕ b = max { a , b } , a ⊗ b = a + b . The notation 𝔸 ⊗ x = 𝕓 represents an interval system of linear equations, where 𝔸 = [ b ¯ , A ¯ ] and 𝕓 = [ b ̲ , b ¯ ] are given interval matrix and interval vector, respectively. We can define several types of solvability of interval systems. In this paper, we define the T4 solvability and...

An optimality system for finite average Markov decision chains under risk-aversion

Alfredo Alanís-Durán, Rolando Cavazos-Cadena (2012)

Kybernetika

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This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown...

Equivalence of compositional expressions and independence relations in compositional models

Francesco M. Malvestuto (2014)

Kybernetika

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We generalize Jiroušek’s (right) composition operator in such a way that it can be applied to distribution functions with values in a “semifield“, and introduce (parenthesized) compositional expressions, which in some sense generalize Jiroušek’s “generating sequences” of compositional models. We say that two compositional expressions are equivalent if their evaluations always produce the same results whenever they are defined. Our first result is that a set system ℋ is star-like with...

A note on prediction for discrete time series

Gusztáv Morvai, Benjamin Weiss (2012)

Kybernetika

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Let { X n } be a stationary and ergodic time series taking values from a finite or countably infinite set 𝒳 and that f ( X ) is a function of the process with finite second moment. Assume that the distribution of the process is otherwise unknown. We construct a sequence of stopping times λ n along which we will be able to estimate the conditional expectation E ( f ( X λ n + 1 ) | X 0 , ⋯ , X λ n ) from the observations ( X 0 , ⋯ , X λ n ) in a point wise consistent way for a restricted class of stationary and ergodic finite or countably infinite alphabet...

An unbounded Berge's minimum theorem with applications to discounted Markov decision processes

Raúl Montes-de-Oca, Enrique Lemus-Rodríguez (2012)

Kybernetika

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This paper deals with a certain class of unbounded optimization problems. The optimization problems taken into account depend on a parameter. Firstly, there are established conditions which permit to guarantee the continuity with respect to the parameter of the minimum of the optimization problems under consideration, and the upper semicontinuity of the multifunction which applies each parameter into its set of minimizers. Besides, with the additional condition of uniqueness of the minimizer,...