Computing optimal policies for Markovian decision processes using simulation

DOI10.1017/S0269964800004034zbMATH Open1336.90100MaRDI QIDQ2808287FDOQ2808287

Authors: Michael N. Katehakis, A. N. Burnetas 

Publication date: 23 May 2016

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

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Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Cites Work

• Title not available (Why is that?)
• Adaptive Markov control processes
• Finite state Markovian decision processes
• A Survey of Some Results in Stochastic Adaptive Control
• Perturbation theory for Markov reward processes with applications to queueing systems
• Simulating Stable Stochastic Systems, I: General Multiserver Queues
• Simulating Stable Stochastic Systems, II: Markov Chains
• Nonstationary Markov decision problems with converging parameters
• Computational comparison of value iteration algorithms for discounted Markov decision processes
• Asymptotically efficient adaptive allocation schemes for controlled Markov chains: finite parameter space
• Using Simulation to Estimate First Passage Distribution

Cited In (10)

• Simulation‐based Uniform Value Function Estimates of Markov Decision Processes
• Simulation-based optimization of Markov reward processes
• Extrapolation of an Optimal Policy using Statistical Probabilistic Model Checking
• Automatic generation of efficient policy alternatives via simulation-optimization
• CONVERGENCE OF SIMULATION-BASED POLICY ITERATION
• Simulation-based optimization of Markov decision processes: an empirical process theory approach
• Simulation-based algorithms for Markov decision processes.
• Simulation optimization algorithms for SMDPs with parameterized randomized stationary policies
• Stochastic finite-state systems in control theory
• On confidence intervals from simulation of finite Markov chains

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