About stability of risk-seeking optimal stopping

Raúl Montes-de-Oca; Elena Zaitseva

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 $\oplus$ and $\otimes$ , where $a \oplus b = max {a, b}$ , $a \otimes b = a + b$ . The notation $𝔸 \otimes x = 𝕓$ represents an interval system of linear equations, where $𝔸 = [\bar{b}, \bar{A}]$ and $𝕓 = [\underset{̲}{b}, \bar{b}]$ 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...