A mean-variance optimization problem for discounted Markov decision processes

DOI10.1016/J.EJOR.2012.01.051MaRDI QIDQ1926755zbMATH OpenOpenAlexFDO

Authors Xianping Guo, Liuer Ye, George Yin

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

meanvariance criterionefficient frontierpolicy iteration algorithmdiscounted rewardfinite continuous-time mdps

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Cited in

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• Utility, probabilistic constraints, mean and variance of discounted rewards in Markov decision processes
• Markov decision problems where means bound variances
• A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
• Multi-objective discounted Markov decision processes with expectation and variance criteria
• Algorithmic aspects of mean-variance optimization in Markov decision processes
• Optimization of Markov decision processes under the variance criterion
• Mean-variance optimization of discrete time discounted Markov decision processes
• Solving an infinite-horizon discounted Markov decision process by DC programming and DCA
• Optimal solutions for undiscounted variance penalized Markov decision chains
• Variance minimization of parameterized Markov decision processes
• First passage optimality and variance minimisation of Markov decision processes with varying discount factors
• A mean-variance optimization problem for continuous-time Markov decision processes
• Finite horizon continuous-time Markov decision processes with mean and variance criteria
• Mean-Variance Tradeoffs in an Undiscounted MDP: The Unichain Case
• On the first passage \(g\)-mean-variance optimality for discounted continuous-time Markov decision processes
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• Mean-variance problems for finite horizon semi-Markov decision processes
• A class of procedures to compute the optimal value f unction in a Markovian decision problem
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• Mean-semivariance optimality for continuous-time Markov decision processes
• A sensitivity-based construction approach to variance minimization of Markov decision processes
• Variance minimization for constrained discounted continuous-time MDPs with exponentially distributed stopping times
• On Finding Optimal Policies for Markov Decision Chains: A Unifying Framework for Mean-Variance-Tradeoffs

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