Other formats:
BibTeX
LaTeX
RIS
@inproceedings{1123332, author = {Brázdil, Tomáš and Chen, Taolue and Forejt, Vojtěch and Novotný, Petr and Simaitis, Aistis}, address = {Dagstuhl, Germany}, booktitle = {IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science (FSTTCS 2013)}, doi = {http://dx.doi.org/10.4230/LIPIcs.FSTTCS.2013.487}, keywords = {stochastic systems; markov decision processes; reward functions}, howpublished = {elektronická verze "online"}, language = {eng}, location = {Dagstuhl, Germany}, isbn = {9783939897644}, pages = {487499}, publisher = {IBFI Schloss Dagstuhl}, title = {Solvency Markov Decision Processes with Interest}, url = {http://drops.dagstuhl.de/opus/volltexte/2013/4395/pdf/37.pdf}, year = {2013} }
TY  JOUR ID  1123332 AU  Brázdil, Tomáš  Chen, Taolue  Forejt, Vojtěch  Novotný, Petr  Simaitis, Aistis PY  2013 TI  Solvency Markov Decision Processes with Interest PB  IBFI Schloss Dagstuhl CY  Dagstuhl, Germany SN  9783939897644 KW  stochastic systems KW  markov decision processes KW  reward functions UR  http://drops.dagstuhl.de/opus/volltexte/2013/4395/pdf/37.pdf L2  http://drops.dagstuhl.de/opus/volltexte/2013/4395/pdf/37.pdf N2  Solvency games, introduced by Berger et al., provide an abstract framework for modeling decisions of a riskaverse investor, whose goal is to avoid ever going broke. We study a new variant of this model, where in addition to stochastic environment and fixed increments and decrements to the investor's wealth we introduce interest, which is earned or paid on the current level of savings or debt, respectively. We concentrate on problems related to the minimum initial wealth sufficient to avoid bankrupting (i.e. steady decrease of the wealth) with probability at least $p$. We present an exponential time algorithm which approximates this minimum initial wealth, and show that a polynomial time approximation is not possible unless P = NP. For the qualitative case, i.e. p=1, we show that the problem whether a given number is larger than or equal to the minimum initial wealth belongs to NP intersection coNP, and show that a polynomial time algorithm would yield a polynomial time algorithm for meanpayoff games, existence of which is a longstanding open problem. We also identify some classes of solvency MDPs for which this problem is in P. In all above cases the algorithms also give corresponding bankruptcy avoiding strategies. ER 
BRÁZDIL, Tomáš, Taolue CHEN, Vojtěch FOREJT, Petr NOVOTNÝ and Aistis SIMAITIS. Solvency Markov Decision Processes with Interest. In \textit{IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science (FSTTCS 2013)}. Dagstuhl, Germany: IBFI Schloss Dagstuhl, 2013. p.~487499. ISBN~9783939897644. doi:10.4230/LIPIcs.FSTTCS.2013.487.
