Markov decision processes with a minimum-variance criterion

DOI10.1016/0022-247X(87)90332-5zbMath0619.90080MaRDI QIDQ1090254

Masami Kurano

Publication date: 1987

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

zbMATH Keywords

stationary policyaverage expected cost\(\epsilon \)-optimalgeneral state and action spaceunbounded costvariance of the sum of costs

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Related Items (14)

Markov Decision Processes with Variance Minimization: A New Condition and Approach ⋮ Bias optimality and strong \(n\) \((n= -1,0)\) discount optimality for Markov decision processes ⋮ Mean-variance problems for finite horizon semi-Markov decision processes ⋮ First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors ⋮ STRONG AVERAGE OPTIMALITY FOR CONTROLLED NONHOMOGENEOUS MARKOV CHAINS^* ⋮ Notes on variance in randomized reward Markov decision processes ⋮ Sample-path optimality and variance-maximization for Markov decision processes ⋮ Optimal ergodic control of Markov diffusion processes with minimum variance ⋮ Variance minimization for continuous-time Markov decision processes: two approaches ⋮ On the total reward variance for continuous-time Markov reward chains ⋮ On the General Utility of Discounted Markov Decision Processes ⋮ Variance-minimization of Markov control processes with pathwise constraints ⋮ On mean reward variance in semi-Markov processes ⋮ Notes on average Markov decision processes with a minimum-variance criterion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Denumerable state semi-Markov decision processes with unbounded costs, average cost criterion
• Stochastic optimal control. The discrete time case
• Markov decision processes with a new optimality criterion: Discrete time
• Markov Decision Processes with a Borel Measurable Cost Function—The Average Case
• Semi-Markov decision processes with a reachable state-subset
• Discounted semi-Markov decision processes: linear programming and policy iteration
• Alternative Theoretical Frameworks for Finite Horizon Discrete-Time Stochastic Optimal Control
• The variance of discounted Markov decision processes
• Estimation and control in Markov chains
• Discrete Dynamic Programming with Sensitive Discount Optimality Criteria

This page was built for publication: Markov decision processes with a minimum-variance criterion