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An Actor-Critic Algorithm for Finite Horizon Markov Decision Processes

Bhatnagar, Shalabh and Abdulla, Mohammed Shahid (2006) An Actor-Critic Algorithm for Finite Horizon Markov Decision Processes. In: Proceedings of the 45th IEEE Conference on Decision & Control Manchester Grand Hyatt Hotel, December 13-15, 2006, San Diego, CA.

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We develop a simulation based algorithm for finite horizon Markov decision processes with finite state and finite action space. Illustrative numerical experiments with the proposed algorithm are shown for problems in flow control of communication networks and capacity switching in semiconductor fabrication.

Item Type: Conference Paper
Keywords: Finite horizon Markov decision processes;reinforcement learning;two timescale stochastic approximation;actor-critic algorithms;normalized Hadamard matrices.
Department/Centre: Division of Electrical Sciences > Computer Science & Automation
Date Deposited: 10 Nov 2011 05:41
Last Modified: 10 Nov 2011 05:41
URI: http://eprints.iisc.ac.in/id/eprint/41968

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