Finite-horizon variance penalised Markov decision processes

被引：7
|
作者：
Collins E.J. [1 ]
机构：
[1] Department of Mathematics, University of Bristol
来源：
Operations-Research-Spektrum | 1997年 / 19卷 / 1期
关键词：
Convex polytopes; Markov decision processes; Mean-variance tradeoff; Variance penalty;
D O I：
10.1007/BF01539805
中图分类号：
学科分类号：
摘要：
We consider a finite horizon Markov decision process with only terminal rewards. We describe a finite algorithm for computing a Markov deterministic policy which maximises the variance penalised reward and we outline a vertex elimination algorithm which can reduce the computation involved. © Springer-Verlag 1997.
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页码：35 / 39
页数：4
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