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The variance of discounted Markov decision processes

Published online by Cambridge University Press:  14 July 2016

Matthew J. Sobel
Matthew J. Sobel*
Affiliation:
Georgia Institute of Technology
*
∗ Postal address: College of Management, Georgia Institute of Technology, Atlanta, GA 30332, U.S.A.
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Abstract

Formulae are presented for the variance and higher moments of the present value of single-stage rewards in a finite Markov decision process. Similar formulae are exhibited for a semi-Markov decision process. There is a short discussion of the obstacles to using the variance formula in algorithms to maximize the mean minus a multiple of the standard deviation.

Keywords

MARKOV DECISION PROCESSVARIANCEDISCOUNTED RETURNPOLICY IMPROVEMENT
Type
Research Papers
Information
Journal of Applied Probability , Volume 19 , Issue 4 , December 1982 , pp. 794 - 802
Copyright
Copyright © Applied Probability Trust 1982 

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