Approximate dynamic programming for stochastic systems with additive and multiplicative noise.

Yu Jiang Zhong-Ping Jiang

Published in: ISIC (2011)

Keyphrases

approximate dynamic programming
stochastic systems
linear program
reinforcement learning
dynamic programming
stochastic models
step size
confidence intervals
linear programming
control policy
average cost
optimal solution
objective function
computational complexity
cost function
policy iteration