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Potential-based online policy iteration algorithms for Markov decision processes
Fang, HT; Cao, XR
2004-04-01
Source PublicationIEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN0018-9286
Volume49Issue:4Pages:493-505
AbstractPerformance potentials play a crucial role in performance sensitivity analysis and policy iteration of Markov decision processes. The potentials can be estimated on a single sample path of a Markov process. In this paper, we propose two potential-based online policy iteration algorithms for performance optimization of Markov systems. The algorithms are based on online estimation of potentials and stochastic approximation. We prove that with these two algorithms the optimal. policy can be attained after it finite number of iterations. A simulation example,is given to illustrate the main ideas and the convergence rates of the algorithms.
KeywordMarkov decision process potential recursive optimization
DOI10.1109/TAC.2004.825647
Language英语
WOS Research AreaAutomation & Control Systems ; Engineering
WOS SubjectAutomation & Control Systems ; Engineering, Electrical & Electronic
WOS IDWOS:000220884800003
PublisherIEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
Citation statistics
Cited Times:29[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/19742
Collection系统科学研究所
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Lab Syst & Control, Beijing 100080, Peoples R China
2.Hong Kong Univ Sci & Technol, Kowloon, Hong Kong, Peoples R China
Recommended Citation
GB/T 7714
Fang, HT,Cao, XR. Potential-based online policy iteration algorithms for Markov decision processes[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2004,49(4):493-505.
APA Fang, HT,&Cao, XR.(2004).Potential-based online policy iteration algorithms for Markov decision processes.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,49(4),493-505.
MLA Fang, HT,et al."Potential-based online policy iteration algorithms for Markov decision processes".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 49.4(2004):493-505.
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