The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality

0432654 - ÚTIA 2015 RIV CZ eng C - Conference Paper (international conference)
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]
R&D Projects: GA ČR GA13-14445S
Grant - others:CONACYT(MX) 171396
Institutional support: RVO:67985556
Keywords : discrete-time Markov decision chains * variance of total discounted rewards * Laurent expansion * mean-variance optimality
Subject RIV: BB - Applied Statistics, Operational Research
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.
Permanent Link: http://hdl.handle.net/11104/0237103