Mean-variance optimization of discrete time discounted Markov decision processes

@article{Xia2018MeanvarianceOO,
  title={Mean-variance optimization of discrete time discounted Markov decision processes},
  author={Li Xia},
  journal={Autom.},
  year={2018},
  volume={88},
  pages={76-82}
}
  • Li Xia
  • Published 2018
  • Mathematics, Computer Science
  • Autom.
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance. Different from most of works in the literature which require the mean performance already achieve optimum, we can let the mean discounted performance equal any constant. The difficulty of this problem is caused by the quadratic form of the variance function… Expand
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