Notes on average Markov decision processes with a minimum-variance criterion
文献类型：期刊论文
| 作者 | Liu, JY |
| 刊名 | OPERATIONS RESEARCH LETTERS
 |
| 出版日期 | 2002-04-01 |
| 卷号 | 30期号:2页码:107-116 |
| 关键词 | Markov decision processes nonstationary MDP average criterion variance criterion strong variance optimal policy |
| ISSN号 | 0167-6377 |
| 英文摘要 | In this paper we consider the optimization problem of the variance of the reward for the nonstationary average Markov decision processes (MDP, for short). Examples in this paper show that there are mistakes in proofs of main theorems in two papers, Kurano [(J. Math, Anal. Appl. 123 (1987) 572)] and Guo [(Math. Meth. Oper. Res. 49 (1999) 87-96)] which investigated the optimization problems of the variance of the sun of costs for the average MDP. We propose a variance criterion which is different from that investigated by Kurano (1987) and Guo (1999) and we prove that there exists a Markov policy which is epsilon-strong variance optimal policy for any epsilon > 0 under some appropriate conditions. (C) 2002 Elsevier Science B.V. All tights reserved. |
| 语种 | 英语 |
| WOS记录号 | WOS:000176621900007 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/17414]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Liu, JY |
| 作者单位 | Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Liu, JY. Notes on average Markov decision processes with a minimum-variance criterion[J]. OPERATIONS RESEARCH LETTERS,2002,30(2):107-116. |
| APA | Liu, JY.(2002).Notes on average Markov decision processes with a minimum-variance criterion.OPERATIONS RESEARCH LETTERS,30(2),107-116. |
| MLA | Liu, JY."Notes on average Markov decision processes with a minimum-variance criterion".OPERATIONS RESEARCH LETTERS 30.2(2002):107-116. |
入库方式： OAI收割
来源：数学与系统科学研究院
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