Algorithmic aspects of mean-variance optimization in Markov decision processes
From MaRDI portal
Publication:2356186
DOI10.1016/j.ejor.2013.06.019zbMath1317.90318OpenAlexW2038398071MaRDI QIDQ2356186
John N. Tsitsiklis, Shie Mannor
Publication date: 29 July 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.06.019
Abstract computational complexity for mathematical programming problems (90C60) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)
Related Items (13)
Risk measurement and risk-averse control of partially observable discrete-time Markov systems ⋮ Finite horizon continuous-time Markov decision processes with mean and variance criteria ⋮ An interactive dynamic approach based on hybrid swarm optimization for solving multiobjective programming problem with fuzzy parameters ⋮ Markov Decision Problems Where Means Bound Variances ⋮ Optimization of Markov decision processes under the variance criterion ⋮ A mean-variance optimization problem for discounted Markov decision processes ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Variance-constrained actor-critic algorithms for discounted and average reward MDPs ⋮ Unnamed Item ⋮ $$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse Players ⋮ Variance minimization of parameterized Markov decision processes ⋮ Conditional value-at-risk: structure and complexity of equilibria ⋮ Process-based risk measures and risk-averse control of discrete-time systems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A variance minimization problem for a Markov decision process
- Computational approaches to variance-penalised Markov decision processes
- Finite-horizon variance penalised Markov decision processes
- A mean-variance optimization problem for discounted Markov decision processes
- Dynamic coherent risk measures
- Coherent Measures of Risk
- Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
- Variance-Penalized Markov Decision Processes
- Approximations of Dynamic Programs, I
- Approximations of Dynamic Programs, II
- On Finding Optimal Policies for Markov Decision Chains: A Unifying Framework for Mean-Variance-Tradeoffs
- The variance of discounted Markov decision processes
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Control Techniques for Complex Networks
- Robust Dynamic Programming
- Stochastic Games
This page was built for publication: Algorithmic aspects of mean-variance optimization in Markov decision processes
