NDLI: Approximate dynamic programming using model-free Bellman Residual Elimination

Content Provider	IEEE Xplore Digital Library
Author	Bethke, B. How, J.P.
Copyright Year	2010
Abstract	This paper presents an modification to the method of Bellman Residual Elimination (BRE) for approximate dynamic programming. While prior work on BRE has focused on learning an approximate policy for an underlying Markov Decision Process (MDP) when the state transition model of the MDP is known, this work proposes a model-free variant of BRE that does not require knowledge of the state transition model. Instead, state trajectories of the system, generated using simulation and/or observations of the real system in operation, are used to build stochastic approximations of the quantities needed to carry out the BRE algorithm. The resulting algorithm can be shown to converge to the policy produced by the nominal, model-based BRE algorithm in the limit of observing an infinite number of trajectories. To validate the performance of the approach, we compare model-based and model-free BRE against LSPI, a well-known approximate dynamic programming algorithm. Measuring performance in terms of both computational complexity and policy quality, we present results showing that BRE performs at least as well as, and sometimes significantly better than, LSPI on a standard benchmark problem.
Starting Page	4146
Ending Page	4151
File Size	303849
Page Count	6
File Format	PDF
ISBN	9781424474264
ISSN	07431619
e-ISBN	9781424474271
DOI	10.1109/ACC.2010.5530611
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-06-30
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	American Automatic Control Council(AACC)
Subject Keyword	Dynamic programming Gaussian processes Heuristic algorithms Computational complexity State-space methods Stochastic systems Performance evaluation Measurement standards Decision making Uncertainty
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering

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