Mean variance optimality in Markov decision chains
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F05%3A00411443" target="_blank" >RIV/67985556:_____/05:00411443 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Mean variance optimality in Markov decision chains
Original language description
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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F05%2F0115" target="_blank" >GA402/05/0115: Validation of Economic Decision Models and Results</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2005
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005
ISBN
978-80-7041-535-1
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
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Publisher name
Gadeamus
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 14, 2005
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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