Calculating the variance in Markov-processes with random reward

DOI10.1007/BF02888435zbMath0523.90089OpenAlexW2036420025MaRDI QIDQ3037176

F.Benito

Publication date: 1982

Published in: Trabajos de Estadistica y de Investigacion Operativa (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/40668

zbMATH Keywords

infinite horizonmeanvariancerandom rewardfinite Markov decision processestotal discounted rewardfinite- horizon

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov and semi-Markov decision processes (90C40)

Related Items (4)

A variance minimization problem for a Markov decision process ⋮ Multi-objective discounted Markov decision processes with expectation and variance criteria ⋮ On the total reward variance for continuous-time Markov reward chains ⋮ On mean reward variance in semi-Markov processes

Cites Work

• Unnamed Item
• Dynamic Programming for a Stochastic Markovian Process with an Application to the Mean Variance Models
• Contraction Mappings in the Theory Underlying Dynamic Programming

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