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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) rewar...
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Some remarks on the variance in Markov chains with rewards.
We consider a discrete time Markov reward process with finite state space and assume that the rewards associated with the transitions are random variables with known probability distribut...
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
Risk Sensitive Discrete- and Continuous -Time Markov Reward Processes
In this note we consider risk sensitive Markov reward processes with finite state space in discrete- and continuous-time setting. Explicit formulas for the growth rate and average reward ...
BC - Teorie a systémy řízení
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Calculating the variance in Markov reward chains with a small interest rate.
We consider a discrete time Markov reward process with finite state space and assume that the rewards associated with the transitions are random variables of the cumulative (random) r...
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- 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
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- 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 chains in both discrete and continuous time. It is shown that parallel results can finite time. Next, the infinite time horizon is consid...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- 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) rewa...
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
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 corresp...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Average Reward Optimality in Semi-Markov Decision Processes with Costly Interventions
In this note we consider semi-Markov reward decision processes evolving on finite state spaces. We focus attention on average reward models, i.e. we establish explicit formulas for the gr...
Statistics and probability
- 2023 •
- D
Rok uplatnění
D - Stať ve sborníku
Central Moments and Risk-Sensitive Optimality in Continuous-Time Markov Reward Processes
In this note we consider continuous-time Markov decision processes with finite state space where the stream of rewards generated by the Markov processes by the Markov
Statistics and probability
- 2020 •
- O
Rok uplatnění
O - Ostatní výsledky
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