Basu, Arnab ; Bhattacharyya, Tirthankar ; Borkar, Vivek S. (2008) A learning algorithm for risk-sensitive cost Mathematics of Operations Research, 33 (4). pp. 880-898. ISSN 0364-765X
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Official URL: http://mor.journal.informs.org/content/33/4/880.sh...
Related URL: http://dx.doi.org/10.1287/moor.1080.0324
Abstract
A linear function approximation-based reinforcement learning algorithm is proposed for Markov decision processes with infinite horizon risk-sensitive cost. Its convergence is proved using the "o.d.e. method" for stochastic approximation. The scheme is also extended to continuous state space processes.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to INFORMS. |
| Keywords: | Learning Algorithm; Risk-Sensitive Cost; Function Approximation; Stochastic Approximation |
| ID Code: | 81468 |
| Deposited On: | 07 Feb 2012 04:55 |
| Last Modified: | 07 Feb 2012 04:55 |
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