Chinthalapati, V. L. Raju ; Bhatnagar, S. (2006) A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with an Application to Optimal Mortgage Refinancing In: 45th IEEE Conference on Decision and Control, 13-15 Dec. 2006, San Diego, CA, USA.
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Official URL: http://doi.org/10.1109/CDC.2006.376769
Related URL: http://dx.doi.org/10.1109/CDC.2006.376769
Abstract
We develop a simulation-based, two-timescale actor-critic algorithm for infinite horizon Markov decision processes with finite state and action spaces, with a discounted reward criterion. The algorithm is of the gradient ascent type and performs a search in the space of stationary randomized policies. The algorithm uses certain simultaneous deterministic perturbation stochastic approximation (SDPSA) gradient estimates for enhanced performance. We show an application of our algorithm on a problem of mortgage refinancing. Our algorithm obtains the optimal refinancing strategies in a computationally efficient manner.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Source: | Copyright of this article belongs to Institute of Electrical and Electronics Engineers. |
| ID Code: | 116729 |
| Deposited On: | 12 Apr 2021 07:28 |
| Last Modified: | 12 Apr 2021 07:28 |
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