Number of the records: 1
Mean variance optimality in Markov decision chains
- 1.
SYSNO ASEP 0411443 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Mean variance optimality in Markov decision chains Title Optimalita prumerne variance v markovskych rozhodovacich procesech Author(s) Sladký, Karel (UTIA-B) RID
Sitař, Milan (UTIA-B)Source Title Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005 / Skalská H.. - Hradec Králové : Gadeamus, 2005 - ISBN 978-80-7041-535-1 Pages s. 350-357 Number of pages 8 s. Action Mathematical Methods in Economics 2005 /23./ Event date 14.09.2005-16.09.2005 VEvent location Hradec Králové Country CZ - Czech Republic Event type WRD Language eng - English Country CZ - Czech Republic Keywords Markov reward processes ; expectation and variance of cumulative rewards Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/05/0115 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation In this note, we consider discrete-time Markov decision processes with finite state space. Recalling explicit formulas for the growth rate of expected value and variance of the cumulative (random) reward, algorithmic procedures for finding optimal policies with respect to various mean variance optimality criteria are discussed. Computational experience with large scale numerical examples is reported. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2010
Number of the records: 1