Single sample path-based optimization of Markov chains

DOI10.1023/A:1022634422482MaRDI QIDQ1289394zbMATH OpenOpenAlexFDO

Authors Xi-Ren Cao

Publication date 28 November 2000

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1022634422482

zbMATH Keywords

Markov decision processesperturbation analysison-line optimizationperformance potentials

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 3906232 (Why is no real title available?)
• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• scientific article; zbMATH DE number 1095138 (Why is no real title available?)
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Feature-based methods for large scale dynamic programming
• Likelihood ratio gradient estimation for stochastic recursions
• Markov chains and stochastic stability
• Perturbation realization, potentials, and sensitivity analysis of Markov processes
• Perturbation theory and finite Markov chains
• Sample-path optimization of convex stochastic performance functions
• Stochastic optimization of regenerative systems using infinitesimal perturbation analysis
• The policy iteration algorithm for average reward Markov decision processes with general state space
• Using the QR Factorization and Group Inversion to Compute, Differentiate, and Estimate the Sensitivity of Stationary Probabilities for Markov Chains

Cited in

(11)

• scientific article; zbMATH DE number 1961138 (Why is no real title available?)
• Generalized estimates for performance sensitivities of stochastic systems
• Potential-based least-squares policy iteration for a parameterized feedback control system
• Temporal difference-based policy iteration for optimal control of stochastic systems
• Computing MDP cost function for high speed networks with sample-path and quantization
• A time aggregation approach to Markov decision processes
• Basic ideas for event-based optimization of Markov systems
• The control of a two-level Markov decision process by time aggregation
• scientific article; zbMATH DE number 3901881 (Why is no real title available?)
• How to optimize discrete-event systems from a single sample path by the score function method
• A unified approach to Markov decision problems and performance sensitivity analysis with discounted and average criteria: multichain cases

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