Algorithmic aspects of mean–variance optimization in Markov decision processes
Author(s)Tsitsiklis, John N; Mannor, Shie
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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 computing a policy that maximizes the mean reward under a variance constraint is NP-hard for some cases, and strongly NP-hard for others. We finally offer pseudopolynomial exact and approximation algorithms.
DepartmentMassachusetts Institute of Technology. Department of Electrical Engineering and Computer Science; Massachusetts Institute of Technology. Laboratory for Information and Decision Systems
European Journal of Operational Research
Mannor, Shie and Tsitsiklis, John N. “Algorithmic Aspects of Mean–variance Optimization in Markov Decision Processes.” European Journal of Operational Research 231, no. 3 (December 2013): 645–653. © 2013 Elsevier B.V.
Author's final manuscript