A note on maximal mean/standard deviation ratio in an undiscounted MDP
type: Item
instance of: scholarly article
title: A note on maximal mean/standard deviation ratio in an undiscounted MDP
zbMATH Open document ID: 0679.90091
DOI: 10.1016/0167-6377(89)90061-8
author: Kun-Jen Chung
published in: Operations Research Letters
publication date: 1989-01-01T00:00:00Z
review text: A stationary policy in an MDP (Markov decision process) induces a stationary probability distribution of the reward from each initial state. This note is related to the problem of maximizing the mean/standard deviation ratio of the stationary distribution. It concludes that a pure policy optimum exists.
Mathematics Subject Classification ID: 90C40
Mathematics Subject Classification ID: 60J05
Mathematics Subject Classification ID: 60J20
zbMATH DE Number: 4114424
zbMATH Keywords: undiscounted MDP
zbMATH Keywords: mean-variance
zbMATH Keywords: stationary policy
reviewed by: Rainer Beedgen
MaRDI profile type: Publication
full work available at URL: 0167-6377(89)90061-8
OpenAlex ID: W2004350543
cites work: On Linear Programming in a Markov Decision Problem
cites work: Maximal mean/standard deviation ratio in an undiscounted MDP
cites work: Mean-Variance Tradeoffs in an Undiscounted MDP
cites work: Mean, variance and probabilistic criteria in finite Markov decision processes: A review
description: scientific article; zbMATH DE number 4114424