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Approximate Receding Horizon Approach for Markov Decision Processes: Average Reward Case
Building on the receding horizon approach by Hernandez-Lerma andLasserre in solving Markov decision processes (MDPs),this paper first analyzes the performance of the (approximate) receding horizon approach in terms of ...
Markov Games: Receding Horizon Approach
We consider a receding horizon approach as an approximate solution totwo-person zero-sum Markov games with infinite horizon discounted costand average cost criteria. <p>We first present error bounds from the optimalequilibrium ...
Estimation of Hidden Markov Models
A risk-sensitive generalization of the Maximum A Posterior Probability (MAP) estimationfor partially observed Markov chains is presented.Using a change of measure technique,a cascade filtering scheme for the risk-sensitivestate ...