Variance-minimization of Markov control processes with pathwise constraints

DOI10.1080/02331934.2011.565762zbMath1252.93136OpenAlexW2043296438MaRDI QIDQ3145054

Armando Felipe Mendoza-Pérez, Onésimo Hernández-Lerma

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.565762

zbMATH Keywords

constrained control problems(discrete-time) Markov control processesaverage reward criteriapathwise average reward

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (1)

Finite horizon continuous-time Markov decision processes with mean and variance criteria

Cites Work

• Variance minimization for continuous-time Markov decision processes: two approaches
• Markov control processes with pathwise constraints
• Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
• Markov decision processes with a minimum-variance criterion
• Deterministic optimal policies for Markov control processes with pathwise constraints
• Multichain Markov Decision Processes with a Sample Path Constraint: A Decomposition Approach
• Markov Decision Processes with Variance Minimization: A New Condition and Approach
• Variance-Penalized Markov Decision Processes
• Sample path average optimality of Markov control processes with strictly unbounded cost
• Markov Decision Processes with Sample Path Constraints: The Communicating Case
• Estimation and control in Markov chains
• Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes

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