Performance gradient estimation for the very large finite Markov chains

DOI10.1109/9.100931MaRDI QIDQ3986172zbMATH OpenOpenAlexFDO

Authors Bin Zhang, Yu-Chi Ho

Publication date 27 June 1992

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.100931

zbMATH Keywords

embedded Markov chainlikelihood ratioqueueing networkssteady-state performance

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Queueing theory (aspects of probability theory) (60K25)

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• Optimization via simulation: A review
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• A unified approach to time-aggregated Markov decision processes
• The control of a two-level Markov decision process by time aggregation
• Solving average cost Markov decision processes by means of a two-phase time aggregation algorithm
• Likelihood ratio gradient estimation for steady-state parameters
• On-line policy gradient estimation with multi-step sampling

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