Simulation-Based Algorithms for Average Cost Markov Decision Processes
Simulation-Based Algorithms for Average Cost Markov Decision Processes
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Fu, Michael C.
Marcus, Steven I.
Marcus, Steven I.
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Abstract
In this paper, we give a summary of recent development of simulation-based algorithmsfor average cost MDP problems, which are different from those for discounted cost problems or shortest pathproblems. We introduce both simulation-based policy iteration algorithms and simulation-based value iterationalgorithms for average cost problems, and give the pros and cons of each algorithm.