A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function

• 成果类型: Article
• 署名作者: Cavazos-Cadena, Rolando; Hernandez-Hernandez, Daniel
• 署名单位: CIMAT - Centro de Investigacion en Matematicas
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2015.0723
• 发表日期: 2016
• 页码: 224-235
• 关键词: risk-aversion

摘要

This work is concerned with finite-state irreducible Markov decision chains satisfying continuity-compactness requirements. It is supposed that the system is driven by a decision maker with utility function U, which, aside mild conditions, is arbitrary, and the performance of a control policy is measured by the long-run average cost criterion induced by U. The main conclusions about this performance index are as follows: (i) the optimal U-average value function coincides with the optimal V-average index for a certain exponential utility V, and (ii) the average criteria associated with U and V have the same class of optimal stationary policies.