• DocumentCode
    336650
  • Title

    Simulation-based optimization of Markov reward processes

  • Author

    Marbach, Peter ; Tsitsiklis, John N.

  • Author_Institution
    Lab. for Inf. & Decision Syst., MIT, Cambridge, MA, USA
  • Volume
    3
  • fYear
    1998
  • fDate
    1998
  • Firstpage
    2698
  • Abstract
    We propose a simulation-based algorithm for optimizing the average reward in a Markov reward process that depends on a set of parameters. As a special case, the method applies to Markov decision processes where optimization takes place within a parametrized set of policies. The algorithm involves the simulation of a single sample path, and can be implemented online. A convergence result (with probability 1) is provided
  • Keywords
    Markov processes; convergence of numerical methods; decision theory; management science; optimisation; probability; state-space methods; Markov decision process; Markov reward processes; convergence; optimization; probability; simulation; state space; Computational modeling; Convergence; Decision making; Dynamic programming; Laboratories; Measurement; Optimization methods; State-space methods; Uncertainty;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
  • Conference_Location
    Tampa, FL
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-4394-8
  • Type

    conf

  • DOI
    10.1109/CDC.1998.757861
  • Filename
    757861