Mean-Variance Optimization in Markov Decision Processes

Preprint, Article English OPEN
Mannor, Shie; Tsitsiklis, John;
  • Publisher: International Machine Learning Society
  • Subject: Computer Science - Artificial Intelligence | Computer Science - Learning

We consider finite horizon Markov decision processes under performance measures that involve both the mean and the variance of the cumulative reward. We show that either randomized or history-based policies can improve performance. We prove that the complexity of comput... View more
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