Constrained Stochastic Optimal Control with a Baseline Performance Guarantee
From MaRDI portal
Abstract: In this paper, we show how a simulated Markov decision process (MDP) built by the so-called emph{baseline} policies, can be used to compute a different policy, namely the emph{simulated optimal} policy, for which the performance of this policy is guaranteed to be better than the baseline policy in the real environment. This technique has immense applications in fields such as news recommendation systems, health care diagnosis and digital online marketing. Our proposed algorithm iteratively solves for a "good" policy in the simulated MDP in an offline setting. Furthermore, we provide a performance bound on sub-optimality for the control policy generated by the proposed algorithm.
This page was built for publication: Constrained Stochastic Optimal Control with a Baseline Performance Guarantee
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6255380)
