Notes on average Markov decision processes with a minimum-variance criterion
From MaRDI portal
Publication:1612012
DOI10.1016/S0167-6377(02)00109-8zbMath1040.90046MaRDI QIDQ1612012
Publication date: 28 August 2002
Published in: Operations Research Letters (Search for Journal in Brave)
Markov decision process; variance minimization; average criterion; \(\varepsilon\)-strong variance optimal policy
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximal mean/standard deviation ratio in an undiscounted MDP
- Markov decision processes with a minimum-variance criterion
- A variance minimization problem for a Markov decision process
- Dynamic programming of expectation and variance
- Nonstationary denumerable state Markov decision processes -- with average variance criterion
- Finite-horizon variance penalised Markov decision processes
- Mean, variance and probabilistic criteria in finite Markov decision processes: A review
- A note on maximal mean/standard deviation ratio in an undiscounted MDP
- Markov decision processes with a new optimality criterion: Discrete time
- Nonhomogeneous Markov Decision Processes with Borel State Space—The Average Criterion with Nonuniformly Bounded Rewards
- Markov Decision Problems and State-Action Frequencies
- Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
- VARIANCE CONSTRAINED MARKOV DECISION PROCESS
- Variance-Penalized Markov Decision Processes
- Variability Sensitive Markov Decision Processes
- Mean-Variance Tradeoffs in an Undiscounted MDP
- Mean-Variance Tradeoffs in an Undiscounted MDP: The Unichain Case
- Markov decision programming–the moment optimal problem for the first-passage model
- Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note
- The variance of discounted Markov decision processes
- Estimation and control in Markov chains
- Markov Decision Processes with a New Optimality Criterion: Small Interest Rates