Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note

DOI10.1080/02522667.1995.10699235zbMATH Open0861.90123OpenAlexW1989914090MaRDI QIDQ4718641FDOQ4718641

Authors: D. J. White 

Publication date: 8 December 1996

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1995.10699235

zbMATH Keywords

Lagrangean based parametric programmingmean-variance problem in a Markov decision problem

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Markov and semi-Markov decision processes (90C40)

Cites Work

• A variance minimization problem for a Markov decision process
• Variance-Penalized Markov Decision Processes
• Computational approaches to variance-penalised Markov decision processes

Cited In (2)

• Notes on average Markov decision processes with a minimum-variance criterion
• Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes

This page was built for publication: Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4718641)