Approximate dynamic programming based on expansive projections

Autor(es)

Arruda, Edilson R. ; do Val, Joao B. R. ; IEEE

• Tipo de documento: Artigo Científico
• Fonte: PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14; v. N/A, p. 2-pg., 2006-01-01.

Resumo

We present a general method to obtain convergent approximate value iteration algorithms with function approximation. The result is applicable to any arbitrary approximation architecture and generalizes existing results in the literature derived for particular approximation schemes. Additionally, we show how to obtain a convergent approximate mapping whose fixed point is the projection in the approximation space of a fixed point of the exact dynamic programming mapping with regards to a suitable subset norm. This result relies on evaluating the difference between successive iterates in the selected subset norm, which provides convergent procedures for any arbitrary approximation architecture. (AU)

• Processo FAPESP: 03/06736-7 - Controle e filtragem de sistemas estocásticos markovianos com saltos nos parâmetros
• Beneficiário: João Bosco Ribeiro do Val
• Modalidade de apoio: Auxílio à Pesquisa - Temático