Multilevel Simulation Based Policy Iteration for Optimal Stopping-Convergence and Complexity.
Denis BelomestnyMarcel LadkauJohn SchoenmakersPublished in: SIAM/ASA J. Uncertain. Quantification (2015)
Keyphrases
- optimal stopping
- policy iteration
- finite horizon
- markov decision processes
- infinite horizon
- optimal policy
- markov decision process
- decision problems
- convergence rate
- model free
- optimal control
- brownian motion
- finite state
- reinforcement learning
- least squares
- temporal difference
- monte carlo
- fixed point
- random variables