A mean-variance optimization problem for discounted Markov decision processes
From MaRDI portal
Publication:1926755
DOI10.1016/j.ejor.2012.01.051zbMath1253.90214MaRDI QIDQ1926755
Liuer Ye, George Yin, Xianping Guo
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.051
mean; efficient frontier; variance criterion; policy iteration algorithm; discounted reward; finite continuous-time mdps
90C40: Markov and semi-Markov decision processes
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