Mean, variance, and probabilistic criteria in finite Markov decision processes: A review

D. J. White

doi:10.1007/bf00938524

Mean, variance, and probabilistic criteria in finite Markov decision processes: A review

Journal of Optimization Theory and Applications ◽

10.1007/bf00938524 ◽

1988 ◽

Vol 56 (1) ◽

pp. 1-29 ◽

Cited By ~ 68

Author(s):

D. J. White

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance ◽

Probabilistic Criteria

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A mean-variance optimization problem for continuous-time Markov decision processes

Scientia Sinica Mathematica ◽

10.1360/n012013-00117 ◽

2014 ◽

Vol 44 (8) ◽

pp. 883-898

Author(s):

XiangXiang HUANG ◽

LiuEr YE

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Optimization Problem ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note

Journal of Information and Optimization Sciences ◽

10.1080/02522667.1995.10699235 ◽

1995 ◽

Vol 16 (2) ◽

pp. 381-386 ◽

Cited By ~ 3

Author(s):

D. J. White

Keyword(s):

Markov Decision Processes ◽

Infinite Horizon ◽

Technical Note ◽

Decision Processes ◽

Variance Analysis ◽

Markov Decision ◽

Mean Variance

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Mean-Variance Problems for Finite Horizon Semi-Markov Decision Processes

Applied Mathematics & Optimization ◽

10.1007/s00245-014-9278-9 ◽

2014 ◽

Vol 72 (2) ◽

pp. 233-259 ◽

Cited By ~ 2

Author(s):

Yonghui Huang ◽

Xianping Guo

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Finite Horizon ◽

Markov Decision ◽

Mean Variance

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A mean–variance optimization problem for discounted Markov decision processes

European Journal of Operational Research ◽

10.1016/j.ejor.2012.01.051 ◽

2012 ◽

Vol 220 (2) ◽

pp. 423-429 ◽

Cited By ~ 15

Author(s):

Xianping Guo ◽

Liuer Ye ◽

George Yin

Keyword(s):

Markov Decision Processes ◽

Optimization Problem ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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Mean Variance Optimization in Markov Decision Processes with State-Dependent Risk Aversion

SSRN Electronic Journal ◽

10.2139/ssrn.3044018 ◽

2017 ◽

Author(s):

Rainer Schlosser

Keyword(s):

Risk Aversion ◽

Markov Decision Processes ◽

Decision Processes ◽

State Dependent ◽

Markov Decision ◽

Mean Variance

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On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes

SIAM Journal on Control and Optimization ◽

10.1137/140968872 ◽

2015 ◽

Vol 53 (3) ◽

pp. 1406-1424 ◽

Cited By ~ 6

Author(s):

Xianping Guo ◽

Xiangxiang Huang ◽

Yi Zhang

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

First Passage ◽

Markov Decision ◽

Mean Variance

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Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes

IEEE Transactions on Automatic Control ◽

10.1109/tac.2009.2023833 ◽

2009 ◽

Vol 54 (9) ◽

pp. 2151-2157 ◽

Cited By ~ 12

Author(s):

Xianping Guo ◽

Xinyuan Song

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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Algorithmic aspects of mean–variance optimization in Markov decision processes

European Journal of Operational Research ◽

10.1016/j.ejor.2013.06.019 ◽

2013 ◽

Vol 231 (3) ◽

pp. 645-653 ◽

Cited By ~ 16

Author(s):

Shie Mannor ◽

John N. Tsitsiklis

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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Mean–variance optimization of discrete time discounted Markov decision processes

Automatica ◽

10.1016/j.automatica.2017.11.012 ◽

2018 ◽

Vol 88 ◽

pp. 76-82 ◽

Cited By ~ 7

Author(s):

Li Xia

Keyword(s):

Markov Decision Processes ◽

Discrete Time ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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Constrained Partially Observed Markov Decision Processes With Probabilistic Criteria for Adaptive Sequential Detection

IEEE Transactions on Automatic Control ◽

10.1109/tac.2012.2208312 ◽

2013 ◽

Vol 58 (2) ◽

pp. 487-493 ◽

Cited By ~ 1

Author(s):

Richard C. Chen ◽

Kevin Wagner ◽

Gilmer L. Blankenship

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Sequential Detection ◽

Partially Observed ◽

Markov Decision ◽

Probabilistic Criteria

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