A UTILITY DEVIATION IN DISCOUNTED MARKOV DECISION PROCESSES WITH GENERAL UTILITY
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概要
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A utility treatment is studied in the framework of discounted Markov decision processes. We will define a new index called a utility deviation related to the risk premium, which is characterized by an iterative formula. Examples are given in the quadratic case and the exponential utility case.
- Research Association of Statistical Sciencesの論文
- 1996-03-00
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