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Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities
Idioma
en
Article de revue
Este ítem está publicado en
Stochastics: An International Journal of Probability and Stochastic Processes. 2015, vol. 87, n° 2, p. 273 - 307
Taylor & Francis: STM, Behavioural Science and Public Health Titles
Resumen en inglés
We consider a discrete-time Markov decision process with Borel state and action spaces, and possibly unbounded cost function. We assume that the Markov transition kernel is absolutely continuous with respect to some ...Leer más >
Palabras clave en inglés
Wasserstein distance
Concentration inequalities
Approximation of the optimal value and an optimal policy
Long-run average cost
Markov decision processes