A mean-variance optimization problem for discounted Markov decision processes

DOI10.1016/j.ejor.2012.01.051zbMath1253.90214MaRDI QIDQ1926755

Liuer Ye, George Yin, Xianping Guo

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.051

zbMATH Keywords

mean; efficient frontier; variance criterion; policy iteration algorithm; discounted reward; finite continuous-time mdps

Mathematics Subject Classification ID

90C40: Markov and semi-Markov decision processes

Related Items

A Sensitivity‐Based Construction Approach to Variance Minimization of Markov Decision Processes, On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes, A unified algorithm framework for mean-variance optimization in discounted Markov decision processes, Mean-variance problems for finite horizon semi-Markov decision processes, Finite horizon continuous-time Markov decision processes with mean and variance criteria, Variance minimization of parameterized Markov decision processes, Mean-semivariance optimality for continuous-time Markov decision processes, Algorithmic aspects of mean-variance optimization in Markov decision processes, Optimization of Markov decision processes under the variance criterion, First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors, Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time

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