Technical Note—Dynamic Programming and Probabilistic Constraints

DOI10.1287/opre.22.3.654zbMath0282.49025OpenAlexW2162392476MaRDI QIDQ4768244

Douglas J. White

Publication date: 1974

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.22.3.654

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Hamilton-Jacobi theories (49L99)

Related Items (9)

Experiments with dynamic programming algorithms for nonseparable problems ⋮ Utility, probabilistic constraints, mean and variance of discounted rewards in Markov decision processes ⋮ Non-homogeneous Markov decision processes with a constraint ⋮ Optimal stopping with a probabilistic constraint ⋮ Constrained Dynamic Optimality and Binomial Terminal Wealth ⋮ Optimal mean-variance portfolio selection ⋮ Monotone Sharpe ratios and related measures of investment performance ⋮ Mean, variance and probabilistic criteria in finite Markov decision processes: A review ⋮ Maximal mean/standard deviation ratio in an undiscounted MDP

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