| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0410461 |
| utime |
20240103182215.7 |
| mtime |
20060210235959.9 |
| ISBN |
80-245-0057-4 |
| title
(primary) (eng) |
Mean variance models in Markovian decision processes: Optimality conditions |
| publisher |
| place |
Praha |
| name |
VŠE |
| pub_time |
2000 |
|
| specification |
|
| serial |
| title
|
Proceedings of the 18th International Conference on Mathematical Methods in Economics 2000 |
| page_num |
159-164 |
| editor |
|
|
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| name1 |
Sladký |
| name2 |
Karel |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0021051 |
| name1 |
Sitař |
| name2 |
M. |
| country |
CZ |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA402/99/1136 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0009183 |
|
| project |
| project_id |
GA402/98/0742 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0009149 |
|
| research |
AV0Z1075907 |
| abstract
(eng) |
We consider a discrete-time Markov reward processes with finite state and action spaces. In contrast with the classical models we assume that the (weighted) long run mean variance, i.e. the (weighted) difference of the ratio of long run second to first moments of total expected reward and the long run average return, is minimized. Ideas for finding optimal long-run average return of Markov and semi-Markov decision processes by policy iterations are heavily employed. |
| action |
| ARLID |
cav_un_auth*0212656 |
| name |
Mathematical Methods in Economics 2000 /18./ |
| place |
Praha |
| country |
CZ |
| dates |
13.09.2000-15.09.2000 |
|
| RIV |
BB |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0130550 |
| ID_orig |
UTIA-B 20000177 |
| arlyear |
2000 |
| mrcbU10 |
2000 |
| mrcbU10 |
Praha VŠE |
| mrcbU12 |
80-245-0057-4 |
| mrcbU63 |
Proceedings of the 18th International Conference on Mathematical Methods in Economics 2000 159 164 |
| mrcbU67 |
Dlouhý M. 340 |
|