Computational approaches to variance-penalized Markov decision processes

DOI10.1080/09720510.2005.10701159zbMATH Open1089.90057OpenAlexW2048298473MaRDI QIDQ3374820FDOQ3374820

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

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zbMATH Keywords

parametric analysisvariance penaltysingle product inventory model

Mathematics Subject Classification ID

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

Cited In (5)

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

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