Markov decision processes with a minimum-variance criterion
type: Item
instance of: scholarly article
title: Markov decision processes with a minimum-variance criterion
zbMATH Open document ID: 0619.90080
DOI: 10.1016/0022-247X(87)90332-5
author: Masami Kurano
published in: Journal of Mathematical Analysis and Applications
publication date: 1987-01-01T00:00:00Z
review text: The paper considers the optimization of the variance of the sum of costs as well as that of an average expected cost in Markov decision processes with unbounded cost. In case of general state and action space, the stationary policy which makes the average variances as small as possible in the class of policies which are \(\epsilon\)-optimal in an average expected cost is found.
Mathematics Subject Classification ID: 90C40
zbMATH DE Number: 4006008
zbMATH Keywords: variance of the sum of costs
zbMATH Keywords: average expected cost
zbMATH Keywords: unbounded cost
zbMATH Keywords: general state and action space
zbMATH Keywords: stationary policy
zbMATH Keywords: \(\epsilon \)-optimal
reviewed by: Howard J. Weiner
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4006008