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: | White D.J. |
Keywords: | lagrange multipliers, programming: markov decision |
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.