On mean reward variance in semi-Markov processes

DOI10.1007/S00186-005-0039-ZMaRDI QIDQ811981zbMATH OpenOpenAlexFDO

Authors Karel Sladký

Publication date 23 January 2006

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-005-0039-z

zbMATH Keywords

Asymptotic behaviourMarkov and semi-Markov processes with rewardsVariance of cumulative reward

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40)

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Cites work

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• On Finding Optimal Policies for Markov Decision Chains: A Unifying Framework for Mean-Variance-Tradeoffs
• Optimal solutions for undiscounted variance penalized Markov decision chains
• The variance of discounted Markov decision processes
• Variance-Penalized Markov Decision Processes

Cited in

(8)

• A multivariate reward process defined on a semi-Markov process and its first-passage-time distributions
• Exact distributions for reward functions on semi-Markov and Markov additive processes
• scientific article; zbMATH DE number 1091183 (Why is no real title available?)
• Mean-variance problems for finite horizon semi-Markov decision processes
• Some reward paths in semi-Markov models with stochastic selection of the transition probabilities
• scientific article; zbMATH DE number 5683075 (Why is no real title available?)
• An alternative approach to the analysis of finite semi-markov and related processes
• On the total reward variance for continuous-time Markov reward chains

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