Mean-Variance Tradeoffs in an Undiscounted MDP
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DOI: 10.1287/opre.42.1.175
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Cited by:
- René Caldentey & Martin B. Haugh, 2009. "Supply Contracts with Financial Hedging," Operations Research, INFORMS, vol. 57(1), pages 47-65, February.
- Jun Fei & Eugene Feinberg, 2013. "Variance minimization for constrained discounted continuous-time MDPs with exponentially distributed stopping times," Annals of Operations Research, Springer, vol. 208(1), pages 433-450, September.
- Li Xia, 2020. "Risk‐Sensitive Markov Decision Processes with Combined Metrics of Mean and Variance," Production and Operations Management, Production and Operations Management Society, vol. 29(12), pages 2808-2827, December.
- Chunling Luo & Chin Hon Tan, 2020. "Almost Stochastic Dominance for Most Risk-Averse Decision Makers," Decision Analysis, INFORMS, vol. 17(2), pages 169-184, June.
- 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.
- Ma, Shuai & Ma, Xiaoteng & Xia, Li, 2023. "A unified algorithm framework for mean-variance optimization in discounted Markov decision processes," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1057-1067.
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Keywords
dynamic programming; Markov: mean-variance tradeoff; programming; multiple criteria: mean-variance tradeoff;All these keywords.
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