Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities
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Publication:5265786
DOI10.1080/17442508.2014.939979zbMATH Open1317.90317OpenAlexW2011519669MaRDI QIDQ5265786FDOQ5265786
Tomás Prieto-Rumeau, F. Dufour
Publication date: 29 July 2015
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2014.939979
Wasserstein distanceconcentration inequalitiesMarkov decision processeslong-run average costapproximation of the optimal value and an optimal policy
Cites Work
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Cited In (10)
- The average cost of Markov chains subject to total variation distance uncertainty
- Approximation of discounted minimax Markov control problems and zero-sum Markov games using Hausdorff and Wasserstein distances
- Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control
- Optimal deterministic controller synthesis from steady-state distributions
- Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures
- From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming
- A stability result for linear Markovian stochastic optimization problems
- A perturbation approach to approximate value iteration for average cost Markov decision processes with Borel spaces and bounded costs
- A convex optimization approach to dynamic programming in continuous state and action spaces
- Computable approximations for average Markov decision processes in continuous time
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