A New Optimal Stepsize For Approximate Dynamic Programming.
Ilya O. RyzhovPeter I. FrazierWarren B. PowellPublished in: CoRR (2014)
Keyphrases
- approximate dynamic programming
- stochastic dynamic programming
- step size
- dynamic programming
- linear program
- reinforcement learning
- control policy
- average cost
- optimal solution
- optimal control
- cost function
- linear programming
- convergence speed
- convergence rate
- objective function
- long run
- policy iteration
- computational complexity