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

DOI10.1080/02522667.1995.10699235MaRDI QIDQ4718641zbMATHOpenAlexFDO

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
• Computational approaches to variance-penalised Markov decision processes
• Variance-Penalized Markov Decision Processes

Cited in

(2)

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

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