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Approximate dynamic programming based on expansive projections

Approximate dynamic programming based on expansive projections
Approximate dynamic programming based on expansive projections

We present a general method to obtain convergent approximate value iteration algorithms with function approximation. The result is applicable to any arbitrary approximation architecture and generalizes existing results in the literature derived for particular approximation schemes. Additionally, we show how to obtain a convergent approximate mapping whose fixed point is the projection in the approximation space of a fixed point of the exact dynamic programming mapping with regards to a suitable subset norm. This result relies on evaluating the difference between successive iterates in the selected subset norm, which provides convergent procedures for any arbitrary approximation architecture.

0191-2216
5537-5542
Institute of Electrical and Electronics Engineers Inc.
Arruda, Edilson F.
8eb3bd83-e883-4bf3-bfbc-7887c5daa911
Do Val, João B.R.
4139d2f5-1439-45d9-a77e-8e7e20ec98b8
Arruda, Edilson F.
8eb3bd83-e883-4bf3-bfbc-7887c5daa911
Do Val, João B.R.
4139d2f5-1439-45d9-a77e-8e7e20ec98b8

Arruda, Edilson F. and Do Val, João B.R. (2006) Approximate dynamic programming based on expansive projections. In Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC. Institute of Electrical and Electronics Engineers Inc. pp. 5537-5542 . (doi:10.1109/cdc.2006.376823).

Record type: Conference or Workshop Item (Paper)

Abstract

We present a general method to obtain convergent approximate value iteration algorithms with function approximation. The result is applicable to any arbitrary approximation architecture and generalizes existing results in the literature derived for particular approximation schemes. Additionally, we show how to obtain a convergent approximate mapping whose fixed point is the projection in the approximation space of a fixed point of the exact dynamic programming mapping with regards to a suitable subset norm. This result relies on evaluating the difference between successive iterates in the selected subset norm, which provides convergent procedures for any arbitrary approximation architecture.

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More information

Published date: 1 January 2006
Venue - Dates: 45th IEEE Conference on Decision and Control 2006, CDC, , San Diego, CA, United States, 2006-12-13 - 2006-12-15

Identifiers

Local EPrints ID: 445711
URI: http://eprints.soton.ac.uk/id/eprint/445711
ISSN: 0191-2216
PURE UUID: e8bae917-baee-42fd-afd4-47745815e2b7
ORCID for Edilson F. Arruda: ORCID iD orcid.org/0000-0002-9835-352X

Catalogue record

Date deposited: 06 Jan 2021 17:41
Last modified: 08 Jan 2022 03:43

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Contributors

Author: João B.R. Do Val

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