On the Convergence of Rolling Horizon Procedure and the Average Criterion

Abstract : We deal with the average criterion on Markov Decision Processes (MDP) to evaluate the performance of the policies. In IEEE A.Control, 35(10), Hernández-Lerma and Lasserre give some sufficient conditions for the convergence of the rolling horizon procedure. We present more general conditions based on properties of Markov chains and value iteration procedure.
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Communication dans un congrès
ALIO―INFORMS Joint International Meeting (INFORMS International Conference and XV CLAIO), 2010, Jun 2010, Buenos Aires, Argentina. 2010
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https://hal.inria.fr/hal-00864169
Contributeur : Alain Jean-Marie <>
Soumis le : vendredi 20 septembre 2013 - 14:43:11
Dernière modification le : vendredi 10 août 2018 - 14:12:03

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  • HAL Id : hal-00864169, version 1

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Eugenio Della Vecchia, Silvia C. Di Marco, Alain Jean-Marie. On the Convergence of Rolling Horizon Procedure and the Average Criterion. ALIO―INFORMS Joint International Meeting (INFORMS International Conference and XV CLAIO), 2010, Jun 2010, Buenos Aires, Argentina. 2010. 〈hal-00864169〉

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