Displaying similar documents to “Sequential estimation in finite-state Markov processes”

Γ-minimax sequential estimation for Markov-additive processes

Ryszard Magiera (2001)

Applicationes Mathematicae

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The problem of estimating unknown parameters of Markov-additive processes from data observed up to a random stopping time is considered. To the problem of estimation, the intermediate approach between the Bayes and the minimax principle is applied in which it is assumed that a vague prior information on the distribution of the unknown parameters is available. The loss in estimating is assumed to consist of the error of estimation (defined by a weighted squared loss function) as well...

Risk-sensitive average optimality in Markov decision processes

Karel Sladký (2018)

Kybernetika

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In this note attention is focused on finding policies optimizing risk-sensitive optimality criteria in Markov decision chains. To this end we assume that the total reward generated by the Markov process is evaluated by an exponential utility function with a given risk-sensitive coefficient. The ratio of the first two moments depends on the value of the risk-sensitive coefficient; if the risk-sensitive coefficient is equal to zero we speak on risk-neutral models. Observe that the first...