Empirical Dynamic Programming

DOI10.1287/MOOR.2015.0733zbMath1338.49055arXiv1311.5918OpenAlexW2593952959MaRDI QIDQ2806811

Dileep Kalathil, Rahul Jain, William B. Haskell

Publication date: 19 May 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.5918

zbMATH Keywords

simulationdynamic programmingMarkov decision processesrandom operatorsempirical methodsprobabilistic fixed points

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25) Markov and semi-Markov decision processes (90C40) Random linear operators (47B80) Simulation of dynamical systems (37M05) Empirical decision procedures; empirical Bayes procedures (62C12) Random dynamical systems (37H99)

Related Items (8)

Some Limit Properties of Markov Chains Induced by Recursive Stochastic Algorithms ⋮ Stochastic and adaptive optimal control of uncertain interconnected systems: a data-driven approach ⋮ A concentration bound for contractive stochastic approximation ⋮ Distributionally robust optimization for sequential decision-making ⋮ Empirical Q-Value Iteration ⋮ Convergence of Recursive Stochastic Algorithms Using Wasserstein Divergence ⋮ Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis ⋮ Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control

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