Computational approaches to variance-penalized Markov decision processes

被引：0

作者：

Yen, Ya-Chin ^{[1
]}

机构：

[1] Jin Wen Inst Technol, Dept Publ Finance, 99 Anjhong Rd, Sindian 231, Taipei, Taiwan

来源：

JOURNAL OF STATISTICS AND MANAGEMENT SYSTEMS | 2005年 / 8卷 / 02期

关键词：

Markov decision processes; variance penalty; parametric analysis;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper develops a simple procedure for solving a variance-penalized Markov decision process. The optimal and pure policy can be easily solved and the results obtained in this paper improve many existing papers. A numerical example is given to illustrate the results.

引用

页码：295 / 304

页数：10

共 50 条

[1] COMPUTATIONAL APPROACHES TO VARIANCE-PENALIZED MARKOV DECISION-PROCESSES
WHITE, DJ
[J]. OR SPEKTRUM, 1992, 14 (02) : 79 - 83
[2] VARIANCE-PENALIZED MARKOV DECISION-PROCESSES
FILAR, JA
KALLENBERG, LCM
LEE, HM
[J]. MATHEMATICS OF OPERATIONS RESEARCH, 1989, 14 (01) : 147 - 161
[3] Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
Gosavi, Abhijit
[J]. INTERNATIONAL JOURNAL OF GENERAL SYSTEMS, 2014, 43 (06) : 649 - 669
[4] STOCHASTIC POLICY SEARCH FOR VARIANCE-PENALIZED SEMI-MARKOV CONTROL
Gosavi, Abhijit
Purohit, Mandar
[J]. PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC), 2011, : 2860 - 2871
[5] Response Adaptive Designs with a Variance-penalized Criterion
Yi, Yanqing
Wang, Xikui
[J]. BIOMETRICAL JOURNAL, 2009, 51 (05) : 763 - 773
[6] REINFORCEMENT LEARNING FOR MODEL BUILDING AND VARIANCE-PENALIZED CONTROL
Gosavi, Abhijit
[J]. PROCEEDINGS OF THE 2009 WINTER SIMULATION CONFERENCE (WSC 2009 ), VOL 1-4, 2009, : 345 - 351
[7] A MATHEMATICAL-PROGRAMMING APPROACH TO A PROBLEM IN VARIANCE PENALIZED MARKOV DECISION-PROCESSES
WHITE, DJ
[J]. OR SPEKTRUM, 1994, 15 (04) : 225 - 230
[8] Variance-penalized response-adaptive randomization with mismeasurement
Li, Xuan
Wang, Xikui
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2012, 142 (07) : 2128 - 2135
[9] Variance minimization for continuous-time Markov decision processes: two approaches
ZHU Quanxin Department of Mathematics Ningbo University Ningbo China
[J]. Applied Mathematics:A Journal of Chinese Universities(Series B), 2010, 25 (04) - 410
[10] Variance minimization for continuous-time Markov decision processes: two approaches
ZHU Quan-xin Department of Mathematics
[J]. Applied Mathematics:A Journal of Chinese Universities, 2010, (04) : 400 - 410

← 1 2 3 4 5 →