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Some remarks on the variance in Markov reward processes
We consider Markov reward processes with finite state space both in discrete- and continuous-time setting. Explicit formulas for the second moment and variance of the cumulative (random) reward up to a given time p...
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Mean variance optimality in Markov decision chains
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, algorithm...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
Total reward variance in discrete and continuous time Markov chains
This note studies the variance of total cumulative rewards for Markov reward be obtained for both cases. First, explicit formulae are presented for the variance within, it is concluded that the varianc...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
Some remarks on the variance in Markov chains with rewards.
are interested in properties of cumulative reward earned in the subsequent transitions of the Markov chain. Explicit formulas for expected values and variance of the cumulativeWe consider a discrete time ...
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
Calculating the variance in Markov reward chains with a small interest rate.
with known probability distributions. Formulas for expected value and variance of the cumulative (random) reward are obtained for finite horizon case and infinite horizon explicit formulas for the variance
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
On mean reward variance in semi-Markov processes
As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for the embedded Markov chain of semi-Markov processes of recurrent states recursive formulae for the varianc...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- Jx
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
On the Total Reward Variance for Continuous-Time Markov Reward Chains
As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for continuous-time Markov reward chains with finite state spaces. The results correspond to discrete-ti...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Risk Sensitive and Mean Variance Optimality in Markov Decision Processes
In this note, we compare two aproaches for handling risk-variability features arising in discrete-time Markov decision processes: models with exponential utility function and mean variance optimality models. Computational approaches for find...
AH - Ekonomie
- 2008 •
- D
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D - Stať ve sborníku
Risk-Sensitive Optimality Criteria in Markov Decision Processes
of the problem. To this end formalae both for the variance of cumulative reward as well as for the exponential utility of cumulative reward earned up to a fixed time point of a Markov reward proc...
BB - Aplikovaná statistika, operační výzkum
- 2007 •
- D
Rok uplatnění
D - Stať ve sborníku
The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality
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 exp...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- D
Rok uplatnění
D - Stať ve sborníku
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