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A model reference adaptive search method for stochastic optimization with applications to Markov decision processes

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3 Author(s)
Jiaqiao Hu ; State Univ. of New York, Stony Brook ; Fu, M.C. ; Marcus, S.I.

We propose a randomized search method called stochastic model reference adaptive search (SMRAS) for solving stochastic optimization problems. We present its global convergence properties in a general stochastic setting, and explore its applications for solving Markov decision processes.

Published in:

Decision and Control, 2007 46th IEEE Conference on

Date of Conference:

12-14 Dec. 2007