Calculating the variance in Markov-processes with random reward
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Publication:3037176
DOI10.1007/BF02888435zbMath0523.90089MaRDI QIDQ3037176
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
infinite horizon; mean; variance; random reward; finite Markov decision processes; total discounted reward; finite- horizon
90C39: Dynamic programming
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
90C40: Markov and semi-Markov decision processes
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On the total reward variance for continuous-time Markov reward chains, On mean reward variance in semi-Markov processes, A variance minimization problem for a Markov decision process, Multi-objective discounted Markov decision processes with expectation and variance criteria
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