DocumentCode :
2160328
Title :
Q-learning algorithms for optimal stopping based on least squares
Author :
Huizhen Yu ; Bertsekas, Dimitri P.
Author_Institution :
Helsinki Inst. for Inf. Technol., Univ. of Helsinki, Helsinki, Finland
fYear :
2007
fDate :
2-5 July 2007
Firstpage :
2368
Lastpage :
2375
Abstract :
We consider the solution of discounted optimal stopping problems using linear function approximation methods. A Q-learning algorithm for such problems, proposed by Tsitsiklis and Van Roy, is based on the method of temporal differences and stochastic approximation. We propose alternative algorithms, which are based on projected value iteration ideas and least squares. We prove the convergence of some of these algorithms and discuss their properties.
Keywords :
Markov processes; approximation theory; decision theory; dynamic programming; iterative methods; learning (artificial intelligence); least squares approximations; pricing; DP; Markovian decision problem; Q-learning algorithm; dynamic programming; financial derivative pricing; least squares; linear function approximation method; optimal stopping problem; stochastic approximation method; temporal difference method; value iteration; Approximation algorithms; Convergence; Equations; Least squares approximations; Q-factor; Vectors;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Control Conference (ECC), 2007 European
Conference_Location :
Kos
Print_ISBN :
978-3-9524173-8-6
Type :
conf
Filename :
7068523
Link To Document :
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