Simulation-based optimization of Markov decision processes: an empirical process theory approach

DOI10.1016/j.automatica.2010.05.021zbMath1204.93132OpenAlexW2071767680MaRDI QIDQ608432

Rahul Jain, Pravin P. Varaiya

Publication date: 25 November 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2010.05.021

zbMATH Keywords

optimizationlearning algorithmsMarkov decision processesstochastic controlMonte Carlo simulation

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stochastic programming (90C15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20)

Related Items (3)

Some Limit Properties of Markov Chains Induced by Recursive Stochastic Algorithms ⋮ Relevant states and memory in Markov chain bootstrapping and simulation ⋮ Empirical Dynamic Programming

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