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A mean–variance optimization problem for discounted Markov decision processes

JOURNAL ARTICLE published July 2012 in European Journal of Operational Research

Authors: Xianping Guo | Liuer Ye | George Yin

https://doi.org/10.1016/j.ejor.2012.01.051 Actions

Mean–variance optimization of discrete time discounted Markov decision processes

JOURNAL ARTICLE published February 2018 in Automatica

Research funded by National Key Research and Development Program of China (2016YFB0901900) | National Natural Science Foundation of China (61573206,61203039,U1301254) | National 111 International Collaboration Project (B06002) | SuZhou-Tsinghua Innovation Leading Action (2016SZ0202)

Authors: Li Xia

https://doi.org/10.1016/j.automatica.2017.11.012 Actions

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

JOURNAL ARTICLE published 1 August 2014 in SCIENTIA SINICA Mathematica

Authors: XiangXiang HUANG | LiuEr YE

https://doi.org/10.1360/n012013-00117 Actions

A unified algorithm framework for mean-variance optimization in discounted Markov decision processes

JOURNAL ARTICLE published December 2023 in European Journal of Operational Research

Research funded by National Natural Science Foundation of China (62073346,U1811462)

Authors: Shuai Ma | Xiaoteng Ma | Li Xia

https://doi.org/10.1016/j.ejor.2023.06.022 Actions

An optimistic value iteration for mean–variance optimization in discounted Markov decision processes

JOURNAL ARTICLE published September 2022 in Results in Control and Optimization

Research funded by Sun Yat-sen University (2020B1212060032) | Basic and Applied Basic Research Foundation of Guangdong Province (2021A1515011984) | National Natural Science Foundation of China (62073346,U1811462)

Authors: Shuai Ma | Xiaoteng Ma | Li Xia

https://doi.org/10.1016/j.rico.2022.100165 Actions

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

JOURNAL ARTICLE published January 2015 in SIAM Journal on Control and Optimization

Authors: Xianping Guo | Xiangxiang Huang | Yi Zhang

https://doi.org/10.1137/140968872 Actions

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

JOURNAL ARTICLE published May 1995 in Journal of Information and Optimization Sciences

Authors: D. J. White

https://doi.org/10.1080/02522667.1995.10699235 Actions

Risk-sensitive infinite-horizon discounted piecewise deterministic Markov decision processes

JOURNAL ARTICLE published November 2022 in Operational Research

Research funded by National Natural Science Foundation of China (11931018) | Universidade de Macau (MYRG2019-00031-FBA) | Basic and Applied Basic Research Foundation of Guangdong Province (2021A1515010057)

Authors: Yonghui Huang | Zhaotong Lian | Xianping Guo

https://doi.org/10.1007/s12351-022-00726-w Actions

Semi-Markov decision processes with variance minimization criterion

JOURNAL ARTICLE published March 2015 in 4OR

Authors: Qingda Wei | Xianping Guo

https://doi.org/10.1007/s10288-014-0267-2 Actions

Utility, probabilistic constraints, mean and variance of discounted rewards in Markov decision processes

JOURNAL ARTICLE published March 1987 in Operations-Research-Spektrum

Authors: D. J. White

https://doi.org/10.1007/bf01720793 Actions

Performance Optimization of Semi-Markov Decision Processes with Discounted-cost Criteria

JOURNAL ARTICLE published January 2008 in European Journal of Control

Authors: Baoqun Yin | Yanjie Li | Yaping Zhou | Hongsheng Xi

https://doi.org/10.3166/ejc.14.213-222 Actions

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

JOURNAL ARTICLE published October 2015 in Applied Mathematics & Optimization

Authors: Yonghui Huang | Xianping Guo

https://doi.org/10.1007/s00245-014-9278-9 Actions

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

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Rainer Schlosser

https://doi.org/10.2139/ssrn.3044018 Actions

Homogeneous Infinite-Horizon Models: Discounted Loss

BOOK CHAPTER published December 2012 in Examples in Markov Decision Processes

https://doi.org/10.1142/9781848167940_0003 Actions

Algorithmic aspects of mean–variance optimization in Markov decision processes

JOURNAL ARTICLE published December 2013 in European Journal of Operational Research

Authors: Shie Mannor | John N. Tsitsiklis

https://doi.org/10.1016/j.ejor.2013.06.019 Actions

Discounted Markov decision processes with fuzzy costs

JOURNAL ARTICLE published December 2020 in Annals of Operations Research

Authors: Abdellatif Semmouri | Mostafa Jourhmane | Zineb Belhallaj

https://doi.org/10.1007/s10479-020-03783-6 Actions

On mean reward variance in semi-Markov processes

JOURNAL ARTICLE published December 2005 in Mathematical Methods of Operations Research

Authors: Karel Sladký

https://doi.org/10.1007/s00186-005-0039-z Actions

Discounted Optimality for Continuous-Time Markov Decision Processes in Polish Spaces

PROCEEDINGS ARTICLE published August 2006 in 2006 Chinese Control Conference

Authors: Xianping Guo

https://doi.org/10.1109/chicc.2006.280655 Actions

Primal-dual algorithms for discounted Markov decision processes

PROCEEDINGS ARTICLE published July 2015 in 2015 European Control Conference (ECC)

Authors: Randy Cogill

https://doi.org/10.1109/ecc.2015.7330554 Actions

Approximation of Infinite Horizon Discounted Cost Markov Decision Processes

BOOK CHAPTER published 2012 in Optimization, Control, and Applications of Stochastic Systems

Authors: François Dufour | Tomás Prieto-Rumeau

https://doi.org/10.1007/978-0-8176-8337-5_4 Actions
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