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

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