bibtype	A - Abstract
ARLID	0410869
utime	20240103182245.0
mtime	20060210235959.9
title (primary) (eng)	Algorithmic procedures for mean-variance optimality in Markov decision chains. Abstract
publisher	place Prague name Institute of Information Theory and Automation pub_time 2002
specification	page_count 1 s.
serial	title Abstracts of the 24th European Meeting of Statisticians & 14th Prague Conference on Information Theory, Statistical Decision Functions and Random Processes page_num 322 editor name1 Janžura name2 M. editor name1 Mikosch name2 T.
keyword	Markov decision chains
keyword	mean-variance
keyword	policy iteration
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*0101193 name1 Sitař name2 Milan institution UTIA-B fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
COSATI	12B
cas_special	project project_id GA402/02/1015 agency GA ČR ARLID cav_un_auth*0000527 project project_id GA402/01/0539 agency GA ČR ARLID cav_un_auth*0008959 research CEZ:AV0Z1075907 abstract (eng) We investigate how the mean-variance selection rule, originally proposed for portfolio selection problems, can work in Markovian decision models. We consider a Markov decision chain with finite state and action spaces, however, instead of average expected reward or average expected variance optimality we consider mean variance optimality, square mean variance optimality or weighted difference of average expected rewards and variances. Optimality conditions and algorithmic procedures are presented. action ARLID cav_un_auth*0212933 name EMS 2002 place Prague country CZ dates 19.08.2002-23.08.2002 RIV BB department E permalink http://hdl.handle.net/11104/0130956 ID_orig UTIA-B 20020083 arlyear 2002 mrcbU10 2002 mrcbU10 Prague Institute of Information Theory and Automation mrcbU63 Abstracts of the 24th European Meeting of Statisticians & 14th Prague Conference on Information Theory, Statistical Decision Functions and Random Processes 322 mrcbU67 Janžura M. 340 mrcbU67 Mikosch T. 340