Original title: The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality
Authors: Sladký, Karel
Document type: Papers
Conference/Event: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Year: 2014
Language: eng
Abstract: In this paper we consider discounted Markov decision processes with finite state space and compact actions spaces. We present formulas for the variance of total expected discounted rewards along with its partial Laurent expansion. This enables to compare the obtained results with similar results for undiscounted models.
Keywords: discrete-time Markov decision chains; Laurent expansion; mean-variance optimality; variance of total discounted rewards
Project no.: GA13-14445S (CEP), 171396
Funding provider: GA ČR, CONACYT
Host item entry: 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2014/E/sladky-0432654.pdf
Original record: http://hdl.handle.net/11104/0237103

Permalink: http://www.nusl.cz/ntk/nusl-175702


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