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EN
ČeštinaEnglish

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

Result description

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 comparethe obtained results with similar results for undiscounted models.

Keywords

discrete-time Markov decision chainsvariance of total discounted rewardsLaurent expansionmean-variance optimality

The result's identifiers

Alternative languages

  • Result language

    angličtina

  • Original language name

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

  • Original language description

    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 comparethe obtained results with similar results for undiscounted models.

  • Czech name

    —

  • Czech description

    —

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

    —

Result continuities

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    32nd International Conference Mathematical Methods in Economics MME 2014

  • ISBN

    978-80-244-4209-9

  • ISSN

    —

  • e-ISSN

    —

  • Number of pages

    6

  • Pages from-to

    908-913

  • Publisher name

    Palacký University, Olomouc

  • Place of publication

    Olomouc

  • Event location

    Olomouc

  • Event date

    Sep 10, 2014

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article

    —

Result type

D - Article in proceedings

D

CEP

BB - Applied statistics, operational research

Year of implementation

2014

Similar results(10)

Markov decision chains in discrete- and continuous-time; a unified approachMulti-objective Discounted Reward Verification in Graphs and MDPsCalculating the variance in Markov reward chains with a small interest rate.