About this book
Markov decision process (MDP) models are widely used for modeling sequential decision-making problems that arise in engineering, economics, computer science, and the social sciences. Many real-world problems modeled by MDPs have huge state and/or action spaces, giving an opening to the curse of dimensionality and so making practical solution of the resulting models intractable. In other cases, the system of interest is too complex to allow explicit specification of some of the MDP model parameters, but simulation samples are readily available (e.g., for random transitions and costs). For these settings, various sampling and population-based algorithms have been developed to overcome the difficulties of computing an optimal solution in terms of a policy and/or value function. Specific approaches include adaptive sampling, evolutionary policy iteration, evolutionary random policy search, and model reference adaptive search.
This substantially enlarged new edition reflects the latest developments in novel algorithms and their underpinning theories, and presents an updated account of the topics that have emerged since the publication of the first edition. Includes:
. innovative material on MDPs, both in constrained settings and with uncertain transition properties;
. game-theoretic method for solving MDPs;
. theories for developing roll-out based algorithms; and
. details of approximation stochastic annealing, a population-based on-line simulation-based algorithm.
The self-contained approach of this book will appeal not only to researchers in MDPs, stochastic modeling, and control, and simulation but will be a valuable source of tuition and reference for students of control and operations research.
The Communications and Control Engineering series reports major technological advances which have potential for great impact in the fields of communication and control. It reflects
research in industrial and academic institutions around the world so that the readership can exploit new possibilities as they become available.
- Book Title Simulation-Based Algorithms for Markov Decision Processes
- Series Title Communications and Control Engineering
- Series Abbreviated Title Communicat., Control Engineering
- DOI https://doi.org/10.1007/978-1-4471-5022-0
- Copyright Information Springer-Verlag London 2013
- Publisher Name Springer, London
- eBook Packages Engineering Engineering (R0)
- Hardcover ISBN 978-1-4471-5021-3
- Softcover ISBN 978-1-4471-5990-2
- eBook ISBN 978-1-4471-5022-0
- Series ISSN 0178-5354
- Edition Number 2
- Number of Pages XVII, 229
- Number of Illustrations 48 b/w illustrations, 1 illustrations in colour
Control and Systems Theory
Systems Theory, Control
Probability Theory and Stochastic Processes
Operations Research, Management Science
Algorithm Analysis and Problem Complexity
Operations Research/Decision Theory
- Buy this book on publisher's site
From the book reviews:“The book consists of five chapters. … This well-written book is addressed to researchers in MDPs and applied modeling with an interests in numerical computations, but the book is also accessible to graduate students in operation research, computer science, and economics. The authors gives many pseudocodes of algorithms, numerical examples, algorithms convergence analysis and bibliographical notes that can be very helpful for readers to understand the ideas presented in the book and to perform experiments on their own.” (Wiesław Kotarski, zbMATH, Vol. 1293, 2014)