On Finding Optimal Policies for Markov Decision Chains: A Unifying Framework for Mean-Variance-Tradeoffs
From MaRDI portal
Publication:4302596
DOI10.1287/moor.19.2.434zbMath0842.90120MaRDI QIDQ4302596
Ying Huang, Lodewijk C. M. Kallenberg
Publication date: 21 August 1994
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.19.2.434
parametric linear programming; finite state and action, discrete-time and single-period Markov decision chains; stationary maximal average reward policies
90C31: Sensitivity, stability, parametric optimization
90C40: Markov and semi-Markov decision processes
Related Items
A fifth bibliography of fractional programming*, Survey of linear programming for standard and nonstandard Markovian control problems. Part I: Theory, On the total reward variance for continuous-time Markov reward chains, On mean reward variance in semi-Markov processes, Finite-horizon variance penalised Markov decision processes