Optimization of Markov decision processes under the variance criterion

DOI10.1016/j.automatica.2016.06.018zbMath1371.93221OpenAlexW2519236774MaRDI QIDQ2409311

Li Xia

Publication date: 11 October 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2016.06.018

zbMATH Keywords

Markov decision processpolicy iterationvariance criterionsensitivity-based optimizationpolicy gradient

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (8)

Finite horizon continuous-time Markov decision processes with mean and variance criteria ⋮ A unified algorithm framework for mean-variance optimization in discounted Markov decision processes ⋮ Mean-variance optimization of discrete time discounted Markov decision processes ⋮ An average-value-at-risk criterion for Markov decision processes with unbounded costs ⋮ Variance minimization of parameterized Markov decision processes ⋮ Optimization in curbing risk contagion among financial institutes ⋮ A Sensitivity‐Based Construction Approach to Variance Minimization of Markov Decision Processes ⋮ Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning

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