A variance minimization problem for a Markov decision process (Q1091952): Difference between revisions
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Revision as of 14:27, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | A variance minimization problem for a Markov decision process |
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A variance minimization problem for a Markov decision process (English)
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1987
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This paper deals with a discrete time Markov decision process with finite states and finite actions. The author investigates the problem to determine an optimal random policy that minimizes the variance of reward, with some constraint on the average reward. Introducing a parametric Markov decision process, he gives a procedure to find this optimal policy.
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discrete time Markov decision process
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finite states
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finite actions
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optimal random policy
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variance of reward
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parametric Markov decision process
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