Entropic risk for turn-based stochastic games
Baier C, Chatterjee K, Meggendorfer T, Piribauer J. 2024. Entropic risk for turn-based stochastic games. Information and Computation. 301, 105214.
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https://doi.org/10.1016/j.ic.2024.105214
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Corresponding author has ISTA affiliation
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Abstract
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.
Publishing Year
Date Published
2024-08-22
Journal Title
Information and Computation
Publisher
Elsevier
Acknowledgement
Krishnendu Chatterjee reports financial support was provided by European Research Council.
Volume
301
Article Number
105214
ISSN
eISSN
IST-REx-ID
Cite this
Baier C, Chatterjee K, Meggendorfer T, Piribauer J. Entropic risk for turn-based stochastic games. Information and Computation. 2024;301. doi:10.1016/j.ic.2024.105214
Baier, C., Chatterjee, K., Meggendorfer, T., & Piribauer, J. (2024). Entropic risk for turn-based stochastic games. Information and Computation. Elsevier. https://doi.org/10.1016/j.ic.2024.105214
Baier, Christel, Krishnendu Chatterjee, Tobias Meggendorfer, and Jakob Piribauer. “Entropic Risk for Turn-Based Stochastic Games.” Information and Computation. Elsevier, 2024. https://doi.org/10.1016/j.ic.2024.105214.
C. Baier, K. Chatterjee, T. Meggendorfer, and J. Piribauer, “Entropic risk for turn-based stochastic games,” Information and Computation, vol. 301. Elsevier, 2024.
Baier C, Chatterjee K, Meggendorfer T, Piribauer J. 2024. Entropic risk for turn-based stochastic games. Information and Computation. 301, 105214.
Baier, Christel, et al. “Entropic Risk for Turn-Based Stochastic Games.” Information and Computation, vol. 301, 105214, Elsevier, 2024, doi:10.1016/j.ic.2024.105214.
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arXiv 2307.06611