Search Results - subject:"Financial optimization"

First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function

Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical Methods of Operations Research 92 (2020) 1, pp. 165-197

Markov decision models (MDM) used in practical applications are most often less complex than the underlying ‘true’ MDM. The reduction of model complexity is performed for several reasons. However, it is obviously of interest to know what kind of model reduction is reasonable (in regard to...

Persistent link: https://www.econbiz.de/10014503414

First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function

Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 165-197

Persistent link: https://www.econbiz.de/10012301681