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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
15 articles.
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