Q-Learning for Risk-Sensitive Control
We propose for risk-sensitive control of finite Markov chains a counterpart of the popular Q-learning algorithm for classical Markov decision processes. The algorithm is shown to converge with probability one to the desired solution. The proof technique is an adaptation of the o.d.e. approach for th...
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Veröffentlicht in: | Mathematics of operations research 2002-05, Vol.27 (2), p.294-311 |
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Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We propose for risk-sensitive control of finite Markov chains a counterpart of the popular Q-learning algorithm for classical Markov decision processes. The algorithm is shown to converge with probability one to the desired solution. The proof technique is an adaptation of the o.d.e. approach for the analysis of stochastic approximation algorithms, with most of the work involved used for the analysis of the specific o.d.e.s that arise. |
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ISSN: | 0364-765X 1526-5471 |
DOI: | 10.1287/moor.27.2.294.324 |