Estimation and control in finite Markov decision processes with the average reward criterion

Volume 31 / 2004

Rolando Cavazos-Cadena, Raúl Montes-de-Oca Applicationes Mathematicae 31 (2004), 127-154 MSC: Primary 90C40, 93E20; Secondary 60J05. DOI: 10.4064/am31-2-1

Abstract

This work concerns Markov decision chains with finite state and action sets. The transition law satisfies the simultaneous Doeblin condition but is unknown to the controller, and the problem of determining an optimal adaptive policy with respect to the average reward criterion is addressed. A subset of policies is identified so that, when the system evolves under a policy in that class, the frequency estimators of the transition law are consistent on an essential set of admissible state-action pairs, and the non-stationary value iteration scheme is used to select an optimal adaptive policy within that family.

Authors

  • Rolando Cavazos-CadenaDepartamento de Estadística y Cálculo
    Universidad Autónoma Agraria Antonio Narro
    Buenavista, Saltillo COAH 25315, México
    e-mail
  • Raúl Montes-de-OcaDepartamento de Matemáticas
    Universidad Autónoma Metropolitana
    Campus Iztapalapa
    Avenida San Rafael Atlixco #186
    Colonia Vicentina
    México 09340, D.F., México
    e-mail

Search for IMPAN publications

Query phrase too short. Type at least 4 characters.

Rewrite code from the image

Reload image

Reload image