A variance minimization problem for a Markov decision process
type: Item
instance of: scholarly article
title: A variance minimization problem for a Markov decision process
zbMATH Open document ID: 0623.90087
DOI: 10.1016/0377-2217(87)90148-2
author: Hajime Kawai
published in: European Journal of Operational Research
publication date: 1987-01-01T00:00:00Z
review text: This paper deals with a discrete time Markov decision process with finite states and finite actions. The author investigates the problem to determine an optimal random policy that minimizes the variance of reward, with some constraint on the average reward. Introducing a parametric Markov decision process, he gives a procedure to find this optimal policy.
Mathematics Subject Classification ID: 90C40
zbMATH DE Number: 4012348
zbMATH Keywords: discrete time Markov decision process
zbMATH Keywords: finite states
zbMATH Keywords: finite actions
zbMATH Keywords: optimal random policy
zbMATH Keywords: variance of reward
zbMATH Keywords: parametric Markov decision process
reviewed by: Makiko Nisio
MaRDI profile type: Publication
full work available at URL: 0377-2217(87)90148-2
OpenAlex ID: W1972505433
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description: scientific article; zbMATH DE number 4012348