• 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