Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls.

Ananda P. Weerasinghe

Published in: SIAM J. Control. Optim. (2003)

Keyphrases

average cost
markov decision processes
total cost
high cost
portfolio selection
cost function
cost reduction
case study
dynamic programming
expected cost
cost savings
cost minimization