Mean-Variance Tradeoffs in an Undiscounted MDP: The Unichain Case

Kun-Jen Chung
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Kun-Jen Chung: National Taiwan Institute of Technology, Taipei, Taiwan, Republic of China

Operations Research, 1994, vol. 42, issue 1, 184-188

Abstract: The problem analyzed here is the computation of Pareto optima in the sense of high mean and low variance of the stationary distribution in the unichain, undiscounted Markov decision process (MDP, for short).

Keywords: decision analysis; risk: mean-variance tradeoffs in MDP; dynamic programming; Markov; finite state: mean-variance tradeoffs (search for similar items in EconPapers)
Date: 1994
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