Optimization of Markov decision processes under the variance criterion
From MaRDI portal
Publication:2409311
DOI10.1016/j.automatica.2016.06.018zbMath1371.93221OpenAlexW2519236774MaRDI QIDQ2409311
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
Markov decision processpolicy iterationvariance criterionsensitivity-based optimizationpolicy gradient
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
Cites Work
- Unnamed Item
- Unnamed Item
- Simulation-based algorithms for Markov decision processes.
- A mean-variance optimization problem for discounted Markov decision processes
- Algorithmic aspects of mean-variance optimization in Markov decision processes
- Mean-Variance Tradeoffs in an Undiscounted MDP
- Mean-Variance Tradeoffs in an Undiscounted MDP: The Unichain Case
- Perturbation realization, potentials, and sensitivity analysis of Markov processes
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- The variance of discounted Markov decision processes
- Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes
- The $n$th-Order Bias Optimality for Multichain Markov Decision Processes
- Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes
- Perturbation theory and finite Markov chains
- Handbook of Markov decision processes. Methods and applications
This page was built for publication: Optimization of Markov decision processes under the variance criterion