Algorithmic aspects of mean-variance optimization in Markov decision processes.
Shie MannorJohn N. TsitsiklisPublished in: Eur. J. Oper. Res. (2013)
Keyphrases
- markov decision processes
- algorithmic aspects
- optimal policy
- finite state
- state space
- policy iteration
- dynamic programming
- reinforcement learning
- transition matrices
- reachability analysis
- decision theoretic planning
- finite horizon
- decision processes
- action space
- average cost
- reinforcement learning algorithms
- risk sensitive
- model based reinforcement learning
- infinite horizon
- average reward
- multistage
- real time dynamic programming
- markov decision process
- least squares
- monte carlo
- state abstraction
- planning under uncertainty
- action sets
- state and action spaces
- semi markov decision processes
- linear programming