Title :
Quasi stochastic approximation
Author :
Shirodkar, D. ; Meyn, S.
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Illinois at Urbana-Champaign (UIUC), Urbana, IL, USA
fDate :
June 29 2011-July 1 2011
Abstract :
In recent work it was shown that a deterministic analog of stochastic approximation can be formulated to obtain a Q-learning algorithm for approximate optimal control of deterministic and stochastic systems. This paper provides a general foundation for "quasi-stochastic approximation" in which all of the processes under consideration are deterministic, much like quasi-Monte-Carlo for variance reduction in simulation. Applications to root finding and to TD-learning are described, and numerical results are presented.
Keywords :
optimal control; simulation; stochastic systems; Q-learning algorithm; TD-learning; approximate optimal control; deterministic analog; deterministic systems; quasiMonte-Carlo; quasistochastic approximation; simulation; stochastic systems; variance reduction; Algorithm design and analysis; Approximation algorithms; Approximation methods; Convergence; Differential equations; Stochastic processes; Trajectory;
Conference_Titel :
American Control Conference (ACC), 2011
Conference_Location :
San Francisco, CA
Print_ISBN :
978-1-4577-0080-4
DOI :
10.1109/ACC.2011.5991485