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A variance minimization problem for a Markov decision process

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  • Kawai, Hajime

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  • Kawai, Hajime, 1987. "A variance minimization problem for a Markov decision process," European Journal of Operational Research, Elsevier, vol. 31(1), pages 140-145, July.
    • Handle: RePEc:eee:ejores:v:31:y:1987:i:1:p:140-145
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    Cited by:

    1. Karel Sladký, 2013. "Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 146-161, November.
    2. Alessandro Arlotto & Noah Gans & J. Michael Steele, 2014. "Markov Decision Problems Where Means Bound Variances," Operations Research, INFORMS, vol. 62(4), pages 864-875, August.
    3. Mannor, Shie & Tsitsiklis, John N., 2013. "Algorithmic aspects of mean–variance optimization in Markov decision processes," European Journal of Operational Research, Elsevier, vol. 231(3), pages 645-653.
    4. Karel Sladký, 2005. "On mean reward variance in semi-Markov processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(3), pages 387-397, December.

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