Mean-variance criteria in an undiscounted Markov decision process

In the steady state of an undiscounted Markov decision process, the paper considers the problem of finding an optimal stationary probability distribution that minimizes the variance of the reward in a transition among the stationary probability distributions which give a mean not less than a specified value. The problem consists of a mathematical program with linear constraints and a non-linear objective. The solution technique replaces the non-linear part of the objective with a constant, inserts the constant as a constraint, and then parametrically analyzes the resulting linear program. Three numerical examples are discussed.