Download e-book for iPad: Competitive Markov Decision Processes by Jerzy Filar, Koos Vrieze

By Jerzy Filar, Koos Vrieze

ISBN-10: 1461240549

ISBN-13: 9781461240549

ISBN-10: 1461284813

ISBN-13: 9781461284819

This e-book is meant as a textual content overlaying the imperative options and strategies of aggressive Markov determination methods. it truly is an try to current a rig­ orous therapy that mixes major learn themes: Stochastic video games and Markov determination methods, that have been studied exten­ sively, and now and then really independently, via mathematicians, operations researchers, engineers, and economists. for the reason that Markov selection approaches may be considered as a distinct noncompeti­ tive case of stochastic video games, we introduce the recent terminology Competi­ tive Markov selection tactics that emphasizes the significance of the hyperlink among those issues and of the houses of the underlying Markov procedures. The ebook is designed for use both in a school room or for self-study via a mathematically mature reader. within the advent (Chapter 1) we define a few complicated undergraduate and graduate classes for which this e-book may well usefully function a textual content. A attribute function of aggressive Markov choice procedures - and person who encouraged our long-standing curiosity - is they can function an "orchestra" containing the "instruments" of a lot of contemporary utilized (and from time to time even natural) arithmetic. They represent a subject the place the tools of linear algebra, utilized chance, mathematical software­ ming, research, or even algebraic geometry should be "played" occasionally solo and infrequently in concord to supply both fantastically easy or both appealing, yet baroque, melodies, that's, theorems.

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Extra resources for Competitive Markov Decision Processes

Sample text

We begin with a brief description of only one version of the HCP. In graph theoretic terms, the problem is to find a simple cycle of Narcs, that is, a Hamiltonian Cycle or a tour, in a directed graph G with N nodes and with arcs (s, Sf), or to determine that none exist. Recall that a simple cycle is one that passes exactly once through each node comprising the cycle. In this section we propose the following, unorthodox, perspective of the Hamiltonian cycle problem: Consider a moving object tracing out a directed path on the graph G with its movement "controlled" by a function f mapping the set of nodes S = {I, 2, ...

P(s'ls", a~;n)Vn_l(S')} 8'=1 h-n(s", a)) Vn(s", 7r*) = Vn(s", 7r*) aEA(8") for every s" E S. 10) also holds with (T - n + 1) replaced by T - n for all strategies 7r. 10) holds for n := T + 1, proving the optimality of 7r*. 1 discussed at the beginning of this section. 1 will yield the strategy 7r = (fO,fl' fd that seemed good earlier. We initiate the algorithm with Vo = (Vo(1), Vo(2), VO(3))T = (10,10, -100), and 12(1) = 1,12(2) = 12(3) = 1. Now, at n = 1, V1 (1) = rnax{lO + 10, 5 + 1O} = 20 and is attained at li(1) = 1.

20 2. 1. Then 71"* is an optimal strategy over F~, and for all n = 0,1, ... , T and s E S Vn(s) = max {r(s, a) A(8) + t p(s'ls, a)Vn-1(S')} . 1. We now need to prove the optimality of 71"*. For n = 0 and an arbitrary 71" = (10, II, ... , IT) E FE, it follows immediately from Step 1 of the algorithm that for all s' E S IE-rr [RTIST = s'] < max {r(s',a)} Acs') IE-rr" [RTIST = s'] Vo(s'). 10) for all s' E S. Now consider IE-rr [t=~n R t IST-n sIll = L aEACs") IE-rr [ t t=T-n R t I ST-n = s", A T- n = al fT-n(s", a).

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Competitive Markov Decision Processes by Jerzy Filar, Koos Vrieze

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