Mean-variance optimization of discrete time discounted Markov decision processes

DOI10.1016/j.automatica.2017.11.012zbMath1379.93103arXiv1708.07095OpenAlexW2964263252MaRDI QIDQ1693714

Li Xia

Publication date: 31 January 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.07095

zbMATH Keywords

Markov decision processmean-variance optimizationvariance criterionsensitivity-based optimization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (1)

A unified algorithm framework for mean-variance optimization in discounted Markov decision processes

Cites Work

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• Mean-Variance Tradeoffs in an Undiscounted MDP
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• Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes
• On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes
• Unnamed Item

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