| Article ID: | iaor19972496 |
| Country: | Germany |
| Volume: | 19 |
| Issue: | 1 |
| Start Page Number: | 35 |
| End Page Number: | 39 |
| Publication Date: | Jan 1997 |
| Journal: | OR Spektrum |
| Authors: | Collins E.J. |
The paper considers a finite horizon Markov decision process with only terminal rewards. It describes a finite algorithm for computing a Markov deterministic policy which maximises the variance penalised reward and the paper outlines a vertex elimination algorithm which can reduce the computation involved.