• DocumentCode
    2819679
  • Title

    A model reference adaptive search method for stochastic optimization with applications to Markov decision processes

  • Author

    Hu, Jiaqiao ; Fu, Michael C. ; Marcus, Steven I.

  • Author_Institution
    State Univ. of New York, Stony Brook
  • fYear
    2007
  • fDate
    12-14 Dec. 2007
  • Firstpage
    975
  • Lastpage
    980
  • Abstract
    We propose a randomized search method called stochastic model reference adaptive search (SMRAS) for solving stochastic optimization problems. We present its global convergence properties in a general stochastic setting, and explore its applications for solving Markov decision processes.
  • Keywords
    Markov processes; convergence; decision theory; optimisation; search problems; Markov decision processes; global convergence; randomized search method; stochastic model reference adaptive search; stochastic optimization; Adaptive control; Algorithm design and analysis; Convergence; Learning; Monte Carlo methods; Optimization methods; Programmable control; Random variables; Search methods; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2007 46th IEEE Conference on
  • Conference_Location
    New Orleans, LA
  • ISSN
    0191-2216
  • Print_ISBN
    978-1-4244-1497-0
  • Electronic_ISBN
    0191-2216
  • Type

    conf

  • DOI
    10.1109/CDC.2007.4434328
  • Filename
    4434328
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2819679