Constrained maximum variance stopping for a finite horizon increasing random walk.
Belleh A. FontemPublished in: Oper. Res. Lett. (2020)
Keyphrases
- random walk
- finite horizon
- maximum variance
- optimal policy
- infinite horizon
- markov decision processes
- markov chain
- markov decision process
- multistage
- directed graph
- link prediction
- markov random walk
- transition probabilities
- state space
- stationary distribution
- average cost
- principal axis
- long run
- support vectors
- dynamic programming