Variance minimization for continuous-time Markov decision processes: two approaches
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Publication:716529
DOI10.1007/s11766-010-2428-1zbMath1240.90461OpenAlexW2130353102MaRDI QIDQ716529
Publication date: 29 September 2011
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-010-2428-1
Polish spacevariance minimizationcontinuous-time Markov decision processoptimality inequalityoptimality equation
Optimality conditions and duality in mathematical programming (90C46) Markov and semi-Markov decision processes (90C40)
Related Items (2)
Average sample-path optimality for continuous-time Markov decision processes in Polish spaces ⋮ Variance-minimization of Markov control processes with pathwise constraints
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