IEEE Transactions on Systems Man and Cybernetics · 1988 · 34 citations · 13 references
Natural SciencesMathematicsDynamical SystemsMarkov Decision ProcessesOptimizationControl TheoryMarkov ChainsOptimal ControlPolicy IterationReinforcement LearningStochastic ControlFinite Markov ChainsFinite-state Markov ChainsState Transition ProbabilitiesStochastic Optimal ControlTransition Probabilities
An efficient scheme is presented for a learning control problem of finite Markov chains with unknown dynamics, i.e. with unknown transition probabilities. The scheme is designed to optimize the asymptotic system performance and for easy application to models with relatively many states and decisions. In this scheme a control policy is determined each time through maximization of a simple performance criterion that explicitly incorporates a tradeoff between estimation of the unknown probabilities and control of the system. The policy determination can be easily performed even in the case of large-size models, since the maximizing operation can be greatly simplified by use of the policy-iteration method. It is proven that this scheme becomes epsilon -optimal as well as optimal by suitable choice of control parameter values in the sense that a relative frequency coefficient of making optimal decisions tends to the maximum.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
13
A two-armed bandit theory of market pricing
Michael Rothschild · Journal of Economic Theory · 1974 · 641 citations
Estimation and control in Markov chains
Petr Mandl · Advances in Applied Probability · 1974 · 180 citations
Bayesian Decision Problems and Markov Chains
Paul H. Randolph, J. J. Martin · Technometrics · 1968 · 90 citations