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Browse Journals & Magazines > Automatic Control, IEEE Trans ...> Volume:51 Issue:9 Help

A Policy Improvement Method in Constrained Stochastic Dynamic Programming

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1 Author(s)
Hyeong Soo Chang ; Dept. of Comput. Sci. & Eng., Sogang Univ., Seoul

This note presents a formal method of improving a given base-policy such that the performance of the resulting policy is no worse than that of the base-policy at all states in constrained stochastic dynamic programming. We consider finite horizon and discounted infinite horizon cases. The improvement method induces a policy iteration-type algorithm that converges to a local optimal policy

Published in:
Automatic Control, IEEE Transactions on  (Volume:51 ,  Issue: 9 )

Date of Publication: Sept. 2006

Page(s):
1523 - 1526
ISSN :
0018-9286
INSPEC Accession Number:
9080637
Digital Object Identifier :
10.1109/TAC.2006.880801
Product Type:
Journals & Magazines
Date of Current Version :
11 September 2006
Issue Date :
Sept. 2006
Sponsored by :
IEEE Control Systems Society

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