Markov Decision Processes with Variance Minimization: A New Condition and Approach

DOI10.1080/07362990701282807zbMath1152.90646OpenAlexW1967050885MaRDI QIDQ3446961

Xianping Guo, Quanxin Zhu

Publication date: 27 June 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701282807

zbMATH Keywords

optimal stationary policyoptimality inequalityvariance-minimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (12)

Exact decomposition approaches for Markov decision processes: a survey ⋮ Mean-variance problems for finite horizon semi-Markov decision processes ⋮ Strong \(n\)-discount and finite-horizon optimality for continuous-time Markov decision processes ⋮ Average sample-path optimality for continuous-time Markov decision processes in Polish spaces ⋮ Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces ⋮ Average optimality for continuous-time Markov decision processes with a policy iteration approach ⋮ Optimal ergodic control of Markov diffusion processes with minimum variance ⋮ Policy iteration for continuous-time average reward Markov decision processes in Polish spaces ⋮ Asymptotic Normality of Discrete-Time Markov Control Processes ⋮ Variance minimization for continuous-time Markov decision processes: two approaches ⋮ Semi-Markov decision processes with variance minimization criterion ⋮ Variance-minimization of Markov control processes with pathwise constraints

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• Another Set of Conditions for Strongn(n = −1, 0) Discount Optimality in Markov Decision Processes

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