A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with an Application to Optimal Mortgage Refinancing

Raju Chinthalapati, VL and Bhatnagar, S (2006) A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with an Application to Optimal Mortgage Refinancing. In: Proceedings of the 45th IEEE Conference on Decision & Control Manchester Grand Hyatt Hotel, 13-15 Dec. 2006, San Diego, CA .

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Abstract

We develop a simulation-based, two-timescale actor-critic algorithm for infinite horizon Markov decision processes with finite state and action spaces, with a discounted reward criterion. The algorithm is of the gradient ascent type and performs a search in the space of stationary randomized policies. The algorithm uses certain simultaneous deterministic perturbation stochastic approximation (SDPSA) gradient estimates for enhanced performance. We show an application of our algorithm on a problem of mortgage refinancing. Our algorithm obtains the optimal refinancing strategies in a computationally efficient manner

Item Type:	Conference Paper
Publisher:	IEEE
Additional Information:	Copyright 2006 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
Department/Centre:	Division of Electrical Sciences > Computer Science & Automation
Date Deposited:	10 Nov 2011 05:39
Last Modified:	10 Nov 2011 05:39
URI:	http://eprints.iisc.ac.in/id/eprint/41969

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