Mean-variance criteria in an undiscounted Markov decision process (Q1310718)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance criteria in an undiscounted Markov decision process |
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Mean-variance criteria in an undiscounted Markov decision process (English)
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1 November 1994
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The author considers a discrete time Markov decision process with finite state and action sets. The goal is to minimize the variance of steady- state rewards subject to the constraint that average rewards per unit time are not less than a given number. An algorithm for the solution of this problem is formulated.
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mean
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finite state and action sets
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variance
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