- Titel
- Entropic risk for turn-based stochastic games
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:14-qucosa2-989603
- Quellenangabe
- Information and computation
Erscheinungsjahr: 2024
Jahrgang: 301, Part A
E-ISSN: 0890-5401
Artikelnummer: 105214 - Erstveröffentlichung
- 2024
- Abstract (EN)
- Entropic risk (ERisk) is an established risk measure in finance, quantifying risk by an exponential re-weighting of rewards. We study ERisk for the first time in the context of turn-based stochastic games with the total reward objective. This gives rise to an objective function that demands the control of systems in a risk-averse manner. We show that the resulting games are determined and, in particular, admit optimal memoryless deterministic strategies. This contrasts risk measures that previously have been considered in the special case of Markov decision processes and that require randomization and/or memory. We provide several results on the decidability and the computational complexity of the threshold problem, i.e. whether the optimal value of ERisk exceeds a given threshold. Furthermore, an approximation algorithm for the optimal value of ERisk is provided.
- Andere Ausgabe
- Link zum Artikel, der zuerst in der Zeitschrift „Information and computation” im Verlag Elsevier erschienen ist.
DOI: 10.1016/j.ic.2024.105214 - Freie Schlagwörter (EN)
- Entropic risk (ERisk), turn-based stochastic games, risk-averse control, memoryless deterministic strategies, threshold problem (computational complexity)
- Klassifikation (DDC)
- 330
- 004
- Verlag
- Elsevier, Amsterdam
- Förder- / Projektangaben
- European Research Council (ERC)
Consolidator grants
Formal Methods for Stochastic Models: Algorithms and Applications
(ForM-SMArt)
ID: 863818 - Deutsche Forschungsgemeinschaft (DFG)
TRR 248: Grundlagen verständlicher Software-Systeme - für eine nachvollziehbare cyber-physische Welt
ID: 389792660 - Deutsche Forschungsgemeinschaft (DFG)
Exzellenzcluster (ExStra)
Centre for Tactile Internet with Human-in-the-Loop (CeTI)
(EXC 2050)
ID: 390696704 - Version / Begutachtungsstatus
- publizierte Version / Verlagsversion
- URN Qucosa
- urn:nbn:de:bsz:14-qucosa2-989603
- Veröffentlichungsdatum Qucosa
- 27.07.2026
- Dokumenttyp
- Artikel
- Sprache des Dokumentes
- Englisch
- Lizenz / Rechtehinweis
CC BY 4.0