DocumentCode
2858535
Title
Quasi stochastic approximation
Author
Shirodkar, D. ; Meyn, S.
Author_Institution
Dept. of Electr. & Comput. Eng., Univ. of Illinois at Urbana-Champaign (UIUC), Urbana, IL, USA
fYear
2011
fDate
June 29 2011-July 1 2011
Firstpage
2429
Lastpage
2435
Abstract
In recent work it was shown that a deterministic analog of stochastic approximation can be formulated to obtain a Q-learning algorithm for approximate optimal control of deterministic and stochastic systems. This paper provides a general foundation for "quasi-stochastic approximation" in which all of the processes under consideration are deterministic, much like quasi-Monte-Carlo for variance reduction in simulation. Applications to root finding and to TD-learning are described, and numerical results are presented.
Keywords
optimal control; simulation; stochastic systems; Q-learning algorithm; TD-learning; approximate optimal control; deterministic analog; deterministic systems; quasiMonte-Carlo; quasistochastic approximation; simulation; stochastic systems; variance reduction; Algorithm design and analysis; Approximation algorithms; Approximation methods; Convergence; Differential equations; Stochastic processes; Trajectory;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference (ACC), 2011
Conference_Location
San Francisco, CA
ISSN
0743-1619
Print_ISBN
978-1-4577-0080-4
Type
conf
DOI
10.1109/ACC.2011.5991485
Filename
5991485
Link To Document