| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0411443 |
| utime |
20240103182328.1 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Mean variance optimality in Markov decision chains |
| specification |
|
| serial |
| title
|
Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005 |
| page_num |
350-357 |
| ISBN |
978-80-7041-535-1 |
| editor |
|
| publisher |
| place |
Hradec Králové |
| name |
Gadeamus |
| year |
2005 |
|
|
| title
(cze) |
Optimalita prumerne variance v markovskych rozhodovacich procesech |
| keyword |
Markov reward processes |
| 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*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 |
GA402/05/0115 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001811 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this note, we consider discrete-time Markov decision processes with finite state space. Recalling explicit formulas for the growth rate of expected value and variance of the cumulative (random) reward, algorithmic procedures for finding optimal policies with respect to various mean variance optimality criteria are discussed. Computational experience with large scale numerical examples is reported. |
| abstract
(cze) |
V praci se studuji diskretni markovske rozhodovaci procesy s konecnym stavovym prostorem. Vyuzitim explicitnich vztahu pro rychlost rustu ocekavanych hodnot, jakoz i rozptylu kumulativniho (nahodneho) vynosu, jsou navrzeny algorithnmicke postupy pro nalezeni optimalniho rizeni vzhledem k ruznym kriteriim. |
| action |
| ARLID |
cav_un_auth*0213243 |
| name |
Mathematical Methods in Economics 2005 /23./ |
| place |
Hradec Králové |
| country |
CZ |
| dates |
14.09.2005-16.09.2005 |
|
| RIV |
BB |
| reportyear |
2010 |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0131524 |
| arlyear |
2005 |
| mrcbU63 |
Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005 978-80-7041-535-1 350 357 Hradec Králové Gadeamus 2005 |
| mrcbU67 |
Skalská H. 340 |
|