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Bibliografie

Conference Paper (international conference)

The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality

Sladký Karel

: 32nd International Conference Mathematical Methods in Economics MME 2014, p. 908-913

: MME 2014. International Conference Mathematical Methods in Economics /32./, (Olomouc, CZ, 10.09.2014-12.09.2014)

: GA13-14445S, GA ČR, 171396, CONACYT

: discrete-time Markov decision chains, variance of total discounted rewards, Laurent expansion, mean-variance optimality

: http://library.utia.cas.cz/separaty/2014/E/sladky-0432654.pdf

(eng): In this paper we consider discounted Markov decision processes with finite state space and compact actions spaces. We present formulas for the variance of total expected discounted rewards along with its partial Laurent expansion. This enables to compare the obtained results with similar results for undiscounted models.

: BB