Filters
Transient and Average Markov Reward Chains with Applications to Finance
The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the variances
BB - Aplikovaná statistika, operační výzkum
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Second Order Optimality in Transient and Discounted Markov Decision Chains
The article is devoted to second order optimality in Markov decision processes. Attention is primarily focused on the reward variance for discounted models matrix is less than unity). Considering the second order optima...
BC - Teorie a systémy řízení
- 2015 •
- 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, algorithmic procedures for ...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- 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 expansion. T...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- D
Rok uplatnění
D - Stať ve sborníku
Second Order Optimality in Markov and Semi-Markov Decision Processes
- and continuous-time Markov reward models. Unfortunately, traditional optimality criteria as long-run average reward per time may be quite insufficient to characterize of Markowitz on mean-variance selection rule...
Statistics and probability
- 2019 •
- D
Rok uplatnění
D - Stať ve sborníku
Second Order Optimality in Markov Decision Chains
on mean variance selection rules, i.e. we optimize the weighted sum of average or total reward and its variance. The article presents explicit formulaeThe article is devoted to Markov reward chains in dis...
Statistics and probability
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
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 processes were obtaine...
BB - Aplikovaná statistika, operační výzkum
- 2007 •
- D
Rok uplatnění
D - Stať ve sborníku
Optimal solutions for undiscounted variance penalized Markov decision chains
processes and in contrast to the classical models we also considered variance of the obtained total reward. Various mean-variance optimality criteria are discussed and an algorithmical procedure for finding op...
BC - Teorie a systémy řízení
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes
can easily obtain necessary and sufficient mean reward optimality conditions and thevariability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case we establish necessary a...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Algorithmic procedures for mean variance optimality in Markov decision chains
In this note we discussed some algorithmic procedures for finding optimal policies of Markov decision chains with respect to various mean variance optimality of the variance of total cumulative reward. Fin...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
- 1 - 10 out of 58 496