Technical Note—Dynamic Programming and Probabilistic Constraints

DOI10.1287/OPRE.22.3.654MaRDI QIDQ4768244zbMATH OpenOpenAlexFDO

Authors D. 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

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

Cited in

(10)

• Maximal mean/standard deviation ratio in an undiscounted MDP
• 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
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• Monotone Sharpe ratios and related measures of investment performance
• Experiments with dynamic programming algorithms for nonseparable problems
• Constrained dynamic optimality and binomial terminal wealth
• Optimal mean-variance portfolio selection
• Optimality and robustness in path-planning under initial uncertainty

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