Original title: Algorithmic procedures for moment optimality in Markovian decision models
Authors: Sitař, Milan
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2002 /20./, Ostrava (CZ), 2002-09-03 / 2002-09-05
Year: 2002
Language: eng
Abstract: We consider a discrete time Markov reward process with finite state and action spaces and random returns. In contrast with the classical models we assume that instead of maximizing the long run average expected return we maximize the first moment and simultaneously minimize the second moment of the reward. An algorithmic procedure is suggested for finding Pareto optimal policies for the considered moment optimality criteria.
Keywords: dynamic programming; long run optimality; Markov reward and decision models
Project no.: CEZ:AV0Z1075907 (CEP), GA402/02/1015 (CEP), GA402/01/0539 (CEP)
Funding provider: GA ČR, GA ČR
Host item entry: Proceedings of the 20th International Conference Mathematical Methods in Economics 2002

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0130976

Permalink: http://www.nusl.cz/ntk/nusl-34932


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers