An Adaptive Sampling Algorithm for Solving Markov Decision Processes

Based on recent results for multiarmed bandit problems, we propose an adaptive sampling algorithm that approximates the optimal value of a finite-horizon Markov decision process (MDP) with finite state and action spaces. The algorithm adaptively chooses which action to sample as the sampling process...

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Bibliographic Details
Published in:Operations research 2005-01, Vol.53 (1), p.126-139
Main Authors: Chang, Hyeong Soo, Fu, Michael C, Hu, Jiaqiao, Marcus, Steven I
Format: Article
Language:English
Subjects:
Algorithms
Applied sciences
Business orders
Decision making
Dynamic programming
dynamic programming/optimal control:Markov finite state
Estimation bias
Estimators
Exact sciences and technology
Inventory control
Markov analysis
Markov processes
Mathematical programming
Mathematics
Methods
Modeling
Operational research and scientific management
Operational research. Management science
Optimal policy
Probability and statistics
Sampling
Sampling bias
Sampling theory, sample surveys
Sciences and techniques of general use
Statistical sampling
Statistics
Studies
Unbiased estimators
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Summary:Based on recent results for multiarmed bandit problems, we propose an adaptive sampling algorithm that approximates the optimal value of a finite-horizon Markov decision process (MDP) with finite state and action spaces. The algorithm adaptively chooses which action to sample as the sampling process proceeds and generates an asymptotically unbiased estimator, whose bias is bounded by a quantity that converges to zero at rate (ln N )/ N , where N is the total number of samples that are used per state sampled in each stage. The worst-case running-time complexity of the algorithm is O (( |A|N ) H ), independent of the size of the state space, where | A | is the size of the action space and H is the horizon length. The algorithm can be used to create an approximate receding horizon control to solve infinite-horizon MDPs. To illustrate the algorithm, computational results are reported on simple examples from inventory control.
ISSN:0030-364X
1526-5463
DOI:10.1287/opre.1040.0145