Notes on average Markov decision processes with a minimum-variance criterion

DOI10.1016/S0167-6377(02)00109-8zbMath1040.90046MaRDI QIDQ1612012

Jianyong Liu

Publication date: 28 August 2002

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6377(02)00109-8

zbMATH Keywords

Markov decision process; variance minimization; average criterion; \(\varepsilon\)-strong variance optimal policy

Mathematics Subject Classification ID

90C39: Dynamic programming

90C40: Markov and semi-Markov decision processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximal mean/standard deviation ratio in an undiscounted MDP
• Markov decision processes with a minimum-variance criterion
• A variance minimization problem for a Markov decision process
• Dynamic programming of expectation and variance
• Nonstationary denumerable state Markov decision processes -- with average variance criterion
• Finite-horizon variance penalised Markov decision processes
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• A note on maximal mean/standard deviation ratio in an undiscounted MDP
• Markov decision processes with a new optimality criterion: Discrete time
• Nonhomogeneous Markov Decision Processes with Borel State Space—The Average Criterion with Nonuniformly Bounded Rewards
• Markov Decision Problems and State-Action Frequencies
• Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
• VARIANCE CONSTRAINED MARKOV DECISION PROCESS
• Variance-Penalized Markov Decision Processes
• Variability Sensitive Markov Decision Processes
• Mean-Variance Tradeoffs in an Undiscounted MDP
• Mean-Variance Tradeoffs in an Undiscounted MDP: The Unichain Case
• Markov decision programming–the moment optimal problem for the first-passage model
• Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note
• The variance of discounted Markov decision processes
• Estimation and control in Markov chains
• Markov Decision Processes with a New Optimality Criterion: Small Interest Rates