Mean-variance analysis in infinite horizon non-discounted Markov decision processes: Technical note

Mean-variance analysis in infinite horizon non-discounted Markov decision processes: Technical note

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Article ID: iaor19961757
Country: India
Volume: 16
Issue: 2
Start Page Number: 381
End Page Number: 386
Publication Date: May 1995
Journal: Journal of Information & Optimization Sciences
Authors:
Keywords: lagrange multipliers, programming: markov decision
Abstract:

This note gives an alternative Lagrangean based parametric programming approach to solving a mean-variance problem in a Markov decision problem to two existing approaches, and gives a qualitative comparison.

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