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Performance Guarantees for Model-Based Approximate Dynamic Programming in Continuous Spaces
DOI:10.1109/TAC.2019.2906423.png)
摘要
En 中文
We study both the value function and Q-function formulation of the linear programming approach to approximate dynamic programming. The approach is model based and optimizes over a restricted function space to approximate the value function or Q-function. Working in the discrete time, continuous space setting, we provide guarantees for the fitting error and online performance of the policy. In particular, the online performance guarantee is obtained by analyzing an iterated version of the greedy policy, and the fitting error guarantee by analyzing an iterated version of the Bellman inequality. These guarantees complement the existing bounds that appear in the literature. The Q-function formulation offers benefits, for example, in the decentralized controller design, however, it can lead to computationally demanding optimization problems. To alleviate this drawback, we provide a condition that simplifies the formulation, resulting in improved computational times.
Keyword:
Aerospace electronics
Dynamic programming
Optimal control
Numerical models
Linear programming
Stochastic processes
Mathematical model
Discrete-time systems
dynamic programming
infinite horizon optimal control
stochastic systems
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期刊
IF:
7
论文数:
1.3W
被引数:
6.7W
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