About: Mean variance models in Markovian decision processes: Optimality conditions.     Goto   Sponge   NotDistinct   Permalink

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Description
  • We consider a discrete-time Markov reward processes with finite state and action spaces. In contrast with the classical models we assume that the (weighted) long run mean variance, i.e. the (weighted) difference of the ratio of long run second to first moments of total expected reward and the long run average return, is minimized. Ideas for finding optimal long-run average return of Markov and semi-Markov decision processes by policy iterations are heavily employed.
  • We consider a discrete-time Markov reward processes with finite state and action spaces. In contrast with the classical models we assume that the (weighted) long run mean variance, i.e. the (weighted) difference of the ratio of long run second to first moments of total expected reward and the long run average return, is minimized. Ideas for finding optimal long-run average return of Markov and semi-Markov decision processes by policy iterations are heavily employed. (en)
Title
  • Mean variance models in Markovian decision processes: Optimality conditions.
  • Mean variance models in Markovian decision processes: Optimality conditions. (en)
skos:prefLabel
  • Mean variance models in Markovian decision processes: Optimality conditions.
  • Mean variance models in Markovian decision processes: Optimality conditions. (en)
skos:notation
  • RIV/67985556:_____/00:16000177!RIV/2003/AV0/A16003/N
http://linked.open.../vavai/riv/strany
  • 159;164
http://linked.open...avai/riv/aktivita
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  • P(GA402/98/0742), P(GA402/99/1136), Z(AV0Z1075907)
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  • 716808
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  • RIV/67985556:_____/00:16000177
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  • N/A (en)
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http://linked.open...ontrolniKodProRIV
  • [5723FB3D5179]
http://linked.open...v/mistoKonaniAkce
  • Praha [CZ]
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  • Praha
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  • Proceedings of the 18th International Conference on Mathematical Methods in Economics 2000.
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http://linked.open...UplatneniVysledku
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  • Sladký, Karel
  • Sitař, M.
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
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  • Vysoká škola ekonomická v Praze
https://schema.org/isbn
  • 80-245-0057-4
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