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The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality
- 1.0432654 - ÚTIA 2015 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Sladký, Karel
The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality.
32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, Olomouc, 2014, s. 908-913. ISBN 978-80-244-4209-9.
[MME 2014. International Conference Mathematical Methods in Economics /32./. Olomouc (CZ), 10.09.2014-12.09.2014]
Grant CEP: GA ČR GA13-14445S
Grant ostatní: CONACYT(MX) 171396
Institucionální podpora: RVO:67985556
Klíčová slova: discrete-time Markov decision chains * variance of total discounted rewards * Laurent expansion * mean-variance optimality
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2014/E/sladky-0432654.pdf
In this paper we consider discounted Markov decision processes with finite state space and compact actions spaces. We present formulas for the variance of total expected discounted rewards along with its partial Laurent expansion. This enables to compare the obtained results with similar results for undiscounted models.
Trvalý link: http://hdl.handle.net/11104/0237103
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