Original title: Mean variance optimality in Markov decision chains
Translated title: Optimalita prumerne variance v markovskych rozhodovacich procesech
Authors: Sladký, Karel ; Sitař, Milan
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2005 /23./, Hradec Králové (CZ), 2005-09-14 / 2005-09-16
Year: 2005
Language: eng
Abstract: [eng] [cze]
In this note, we consider discrete-time Markov decision processes with finite state space. Recalling explicit formulas for the growth rate of expected value and variance of the cumulative (random) reward, algorithmic procedures for finding optimal policies with respect to various mean variance optimality criteria are discussed. Computational experience with large scale numerical examples is reported. V praci se studuji diskretni markovske rozhodovaci procesy s konecnym stavovym prostorem. Vyuzitim explicitnich vztahu pro rychlost rustu ocekavanych hodnot, jakoz i rozptylu kumulativniho (nahodneho) vynosu, jsou navrzeny algorithnmicke postupy pro nalezeni optimalniho rizeni vzhledem k ruznym kriteriim.
Keywords: expectation and variance of cumulative rewards; Markov reward processes
Project no.: CEZ:AV0Z10750506 (CEP), GA402/05/0115 (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005, ISBN 978-80-7041-535-1

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/11104/0131524

Permalink: http://www.nusl.cz/ntk/nusl-35097


The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers