Computational approaches to variance-penalized Markov decision processes

DOI10.1080/09720510.2005.10701159MaRDI QIDQ3374820zbMATH OpenOpenAlexFDO

Authors Ya-Chin Yen

Publication date 22 February 2006

Published in Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/09720510.2005.10701159

zbMATH Keywords

parametric analysisvariance penaltysingle product inventory model

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Markov and semi-Markov decision processes (90C40)

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(4)

• The variational calculus and approximation in policy space for Markovian decision processes
• Computational approaches to variance-penalised Markov decision processes
• Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
• A mathematical programming approach to a problem in variance penalised Markov decision processes

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