Guo, Xianping; Ye, Liuer; Yin, George - In: European Journal of Operational Research 220 (2012) 2, pp. 423-429
In this paper, we consider a mean–variance optimization problem for Markov decision processes (MDPs) over the set of … (deterministic stationary) policies. Different from the usual formulation in MDPs, we aim to obtain the mean–variance optimal policy … that minimizes the variance over a set of all policies with a given expected reward. For continuous-time MDPs with the …