An optimistic value iteration for mean–variance optimization in discounted Markov decision processes-Reference-Cited by-同舟云学术

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An optimistic value iteration for mean–variance optimization in discounted Markov decision processes

Published:2022-09 Issue: Volume:8 Page:100165
ISSN:2666-7207
Container-title:Results in Control and Optimization
language:en
Short-container-title:Results in Control and Optimization

Author:

Ma Shuai,Ma Xiaoteng,Xia Li^ORCID

Funder

Sun Yat-sen University

Fundamental Research Funds for the Central Universities

Guangdong Province Key Laboratory of Computational Science

Basic and Applied Basic Research Foundation of Guangdong Province

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Artificial Intelligence,Applied Mathematics,Control and Optimization,Modeling and Simulation,Control and Systems Engineering

Reference27 articles.

1. Portfolio selection;Markowitz;J Finance,1952

2. Mean–variance analysis of option contracts in a two-echelon supply chain;Zhuo;European J Oper Res,2018

3. Minimum variance performance map for constrained model predictive control;Harrison;J Process Control,2009

4. A mean–variance framework for tests of asset pricing models;Kandel;Rev Financ Stud,1989

5. Advances in prospect theory: Cumulative representation of uncertainty;Tversky;J Risk Uncertain,1992

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