bibtype	C - Conference Paper (international conference)
ARLID	0411326
utime	20240103182318.7
mtime	20060210235959.9
ISBN	3-540-24274-0
title (primary) (eng)	Total reward variance in discrete and continuous time Markov chains
specification	page_count 8 s.
serial	title Operations Research Proceedings 2004 page_num 319-326 ISBN 978-3-540-27679-1 editor name1 Fleuren name2 H. editor name1 den Hertog name2 D. editor name1 Kort name2 P. publisher place Berlin name Springer year 2005
title (cze)	Rozptyl celkoveho vynosu v markovskych procesech s diskretnim a spojitym casovym parametrem
keyword	Markov reward processes with finite state space
keyword	expectation and variance of cumulative rewards
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*0212066 name1 van Dijk name2 N. M. country NL
COSATI	12B
cas_special	project project_id GA402/02/1015 agency GA ČR ARLID cav_un_auth*0000527 project project_id GA402/04/1294 agency GA ČR ARLID cav_un_auth*0001810 research CEZ:AV0Z10750506 abstract (eng) This note studies the variance of total cumulative rewards for Markov reward chains in both discrete and continuous time. It is shown that parallel results can be obtained for both cases. First, explicit formulae are presented for the variance within finite time. Next, the infinite time horizon is considered. Most notably, it is concluded that the variance has a linear growth rate. Explicit expressions are provided, related to the standard average reward case, to compute this growth rate. abstract (cze) V praci se studuje rozptyl celkoveho vynosu pro markovske procesy s ohodnocenim s diskretnim i spojitym casovym parametrem. Je ukazano, ze pro oba typy modelu lze ziskat obdobne vysledky. Nejprve jsou odvozeny explicitini vzorce to rozptyl celkoveho vynosu v konecnem case. Dale je studovan pripad s nekonecnym planovacim horizontem. Je ukazano, ze pro spojity i diskretni casovy parametr rust celkoveho rozptylu je asymptoticky linearni. Jsou nalezeny explicitni vyrazy pro vypocet rychlosti rustu. action ARLID cav_un_auth*0213181 name Operations Research 2004 place Tilburg country NL dates 01.09.2004-03.09.2004 RIV BB reportyear 2010 department E permalink http://hdl.handle.net/11104/0131408 arlyear 2005 mrcbU12 3-540-24274-0 mrcbU63 Operations Research Proceedings 2004 978-3-540-27679-1 319 326 Berlin Springer 2005 mrcbU67 Fleuren H. 340 mrcbU67 den Hertog D. 340 mrcbU67 Kort P. 340