Mean-variance problems for finite horizon semi-Markov decision processes
Publication:887160
DOI10.1007/s00245-014-9278-9zbMath1343.93100MaRDI QIDQ887160
Publication date: 28 October 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-014-9278-9
linear programming; dynamic programming; value iteration; finite horizon semi-Markov decision processes; policy improvement; mean-variance optimal policy
49L20: Dynamic programming in optimal control and differential games
90C05: Linear programming
93C55: Discrete-time control/observation systems
90C39: Dynamic programming
93E20: Optimal stochastic control
90C40: Markov and semi-Markov decision processes
49K45: Optimality conditions for problems involving randomness
49J55: Existence of optimal solutions to problems involving randomness
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