Computational approaches to variance-penalised Markov decision processes

DOI10.1007/BF01720350zbMath0768.90087MaRDI QIDQ1198139

Douglas J. White

Publication date: 16 January 1993

Published in: OR Spektrum (Search for Journal in Brave)

zbMATH Keywords

parametric linear programmingparametric Lagrangean programmingparametric policy space approachvariance-penalised Markov decision process

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Markov and semi-Markov decision processes (90C40) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items

Finite-horizon variance penalised Markov decision processes, Mean-variance problems for finite horizon semi-Markov decision processes, Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note, A mathematical programming approach to a problem in variance penalised Markov decision processes, Algorithmic aspects of mean-variance optimization in Markov decision processes

Cites Work

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• Variance-Penalized Markov Decision Processes
• Generalized Lagrange Multiplier Method for Solving Problems of Optimum Allocation of Resources
• A Successive Underestimation Method for Concave Minimization Problems
• Solving Certain Nonconvex Quadratic Minimization Problems by Ranking the Extreme Points