A note on maximal mean/standard deviation ratio in an undiscounted MDP

A note on maximal mean/standard deviation ratio in an undiscounted MDP

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Article ID: iaor1989725
Country: Netherlands
Volume: 8
Start Page Number: 201
End Page Number: 203
Publication Date: Apr 1989
Journal: Operations Research Letters
Authors:
Abstract:

A stationary policy in an MDP (Markov decision process) induces a stationary probability distribution of the reward from each initial state. This note is related to the problem of maximizing the mean/standard deviation ratio of the stationary distribution. It concludes that a pure policy optimum exists.

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