A Version of the Euler Equation in Discounted Markov Decision Processes
Joint Authors
Cruz-Suárez, H.
Zacarías-Espinoza, G.
Vázquez-Guevara, V.
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-10-24
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
This paper deals with Markov decision processes (MDPs) on Euclidean spaces with an infinite horizon.
An approach to study this kind of MDPs is using the dynamic programming technique (DP).
Then the optimal value function is characterized through the value iteration functions.
The paper provides conditions that guarantee the convergence of maximizers of the value iteration functions to the optimal policy.
Then, using the Euler equation and an envelope formula, the optimal solution of the optimal control problem is obtained.
Finally, this theory is applied to a linear-quadratic control problem in order to find its optimal policy.
American Psychological Association (APA)
Cruz-Suárez, H.& Zacarías-Espinoza, G.& Vázquez-Guevara, V.. 2012. A Version of the Euler Equation in Discounted Markov Decision Processes. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-992949
Modern Language Association (MLA)
Cruz-Suárez, H.…[et al.]. A Version of the Euler Equation in Discounted Markov Decision Processes. Journal of Applied Mathematics No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-992949
American Medical Association (AMA)
Cruz-Suárez, H.& Zacarías-Espinoza, G.& Vázquez-Guevara, V.. A Version of the Euler Equation in Discounted Markov Decision Processes. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-992949
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-992949