Second Order Optimality in Transient and Discounted Markov Decision Chains

Result code in IS VaVaI
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Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Second Order Optimality in Transient and Discounted Markov Decision Chains
Original language description
The article is devoted to second order optimality in Markov decision processes. Attention is primarily focused on the reward variance for discounted models and undiscounted transient models (i.e. where the spectral radius of the transition probability matrix is less than unity). Considering the second order optimality criteria means that in the class of policies maximizing (or minimizing) total expected discounted reward (or undiscounted reward for the transient model) we choose the policy minimizing the total variance. Explicit formulae for calculating the variances for transient and discounted models are reported along with sketches of algoritmic procedures for finding second order optimal policies.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
731-736
Publisher name
University of West Bohemia, Plzeň
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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