Finite-horizon variance penalised Markov decision processes

DOI10.1007/BF01539805zbMATH Open0894.90161MaRDI QIDQ1374409FDOQ1374409

Authors: E. J. Collins 

Publication date: 4 December 1997

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

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zbMATH Keywords

convex polytopesmean-variance tradeoffvertex eliminationfinite horizon Markov decision processterminal rewardsvariance penalty

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Cites Work

• Finite state Markovian decision processes
• Variance-Penalized Markov Decision Processes
• The variance of discounted Markov decision processes
• On Finding Optimal Policies for Markov Decision Chains: A Unifying Framework for Mean-Variance-Tradeoffs
• Title not available (Why is that?)
• Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
• A mathematical programming approach to a problem in variance penalised Markov decision processes
• Computational approaches to variance-penalised Markov decision processes

Cited In (10)

• Algorithmic aspects of mean-variance optimization in Markov decision processes
• Notes on average Markov decision processes with a minimum-variance criterion
• Variance-Penalized Markov Decision Processes
• VARIANCE CONSTRAINED MARKOV DECISION PROCESS
• Computational approaches to variance-penalized Markov decision processes
• Mean-variance problems for finite horizon semi-Markov decision processes
• Computational approaches to variance-penalised Markov decision processes
• Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
• Entropic risk for turn-based stochastic games
• A mathematical programming approach to a problem in variance penalised Markov decision processes

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