Mean-variance problems for finite horizon semi-Markov decision processes

DOI10.1007/s00245-014-9278-9zbMath1343.93100OpenAlexW1971843684MaRDI QIDQ887160

Xianping Guo, Yong-hui Huang

Publication date: 28 October 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9278-9

zbMATH Keywords

linear programmingdynamic programmingvalue iterationfinite horizon semi-Markov decision processespolicy improvementmean-variance optimal policy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear programming (90C05) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Finite horizon continuous-time Markov decision processes with mean and variance criteria ⋮ A risk minimization problem for finite horizon semi-Markov decision processes with loss rates ⋮ First Passage Exponential Optimality Problem for Semi-Markov Decision Processes ⋮ Optimal investment problem under non-extensive statistical mechanics

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