Mean-variance problems for finite horizon semi-Markov decision processes
DOI10.1007/s00245-014-9278-9zbMath1343.93100MaRDI QIDQ887160
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
linear programming; dynamic programming; value iteration; finite horizon semi-Markov decision processes; policy improvement; mean-variance optimal policy
49L20: Dynamic programming in optimal control and differential games
90C05: Linear programming
93C55: Discrete-time control/observation systems
90C39: Dynamic programming
93E20: Optimal stochastic control
90C40: Markov and semi-Markov decision processes
49K45: Optimality conditions for problems involving randomness
49J55: Existence of optimal solutions to problems involving randomness
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Finite horizon semi-Markov decision processes with application to maintenance systems
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Risk-averse dynamic programming for Markov decision processes
- Multiperiod mean-variance portfolio optimization via market cloning
- On mean reward variance in semi-Markov processes
- Continuous-time Markov decision processes. Theory and applications
- Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
- Markov decision processes with a minimum-variance criterion
- Computational approaches to variance-penalised Markov decision processes
- Finite-horizon variance penalised Markov decision processes
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- A mean-variance optimization problem for discounted Markov decision processes
- Markov decision processes with average-value-at-risk criteria
- Minimum risk probability for finite horizon semi-Markov decision processes
- Optimal risk probability for first passage models in semi-Markov decision processes
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Markov Decision Processes with Variance Minimization: A New Condition and Approach
- Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
- Variance-Penalized Markov Decision Processes
- Mean-Variance Tradeoffs in an Undiscounted MDP
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- The variance of discounted Markov decision processes
- Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes
- Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes
- On the total reward variance for continuous-time Markov reward chains
