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July  2016, 3(3): 261-278. doi: 10.3934/jdg.2016014

A perturbation approach to a class of discounted approximate value iteration algorithms with borel spaces

Óscar Vega-Amaya 1, and  Joaquín López-Borbón 1,

1. 

Departamento de Matemáticas, Universidad de Sonora, Rosales s/n, Col. Centro, 83000, Hermosillo, Sonora, Mexico, Mexico

Received  December 2015 Revised  July 2016 Published  August 2016

The present paper gives computable performance bounds for the approximate value iteration (AVI) algorithm when are used approximation operators satisfying the following properties: (i) they are positive linear operators; (ii) constant functions are fixed points of such operators; (iii) they have certain continuity property. Such operators define transition probabilities on the state space of the controlled systems. This has two important consequences: (a) one can see the approximating function as the average value of the target function with respect to the induced transition probability; (b) the approximation step in the AVI algorithm can be thought of as a perturbation of the original Markov model. These two facts enable us to give finite-time bounds for the AVI algorithm performance depending on the operators accuracy to approximate the cost function and the transition law of the system. The results are illustrated with numerical approximations for a class of inventory systems.
Keywords: perturbed models., Markov decision processes, discounted criterion, approximate value iteration algorithm.
Mathematics Subject Classification: Primary: 93E20, 90C59; Secondary: 90C4.
Citation: Óscar Vega-Amaya, Joaquín López-Borbón. A perturbation approach to a class of discounted approximate value iteration algorithms with borel spaces. Journal of Dynamics & Games, 2016, 3 (3) : 261-278. doi: 10.3934/jdg.2016014
References:
[1]

A. Almudevar, Approximate fixed point iteration with an application to infinite horizon Markov decision processes,, SIAM Journal on Control and Optimization, 47 (2008), 2303.  doi: 10.1137/S0363012904441520.  Google Scholar

[2]

E. F. Arruda, M. D. Fragoso and J. B. R. do Val, Approximate dynamic programming via direct search in the space of value function approximations,, European Journal of Operational Research, 211 (2011), 343.  doi: 10.1016/j.ejor.2010.11.019.  Google Scholar

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D. P. Bertsekas, Approximate policy iteration: A survey and some new methods,, Journal of Control Theory and Applications, 9 (2011), 310.  doi: 10.1007/s11768-011-1005-3.  Google Scholar

[5]

D. P. Bertsekas and J. N. Tsitsiklis, Neuro-Dynamic Programming,, Athena Scientific, (1996).   Google Scholar

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L. Beutel, H. Gonska and D. Kacsó, On variation-diminishing Shoenberg operators: new quantitative statements,, in Multivariate approximation and interpolations with applications (ed. M. Gasca), 20 (2002), 9.   Google Scholar

[7]

R. A. DeVore, The Approximation of Continuous Functions by Positive Linear Operators, Lectures Notes in Mathematics 293,, Springer-Verlag, (1972).   Google Scholar

[8]

F. Dufour and T. Prieto-Rumeau, Approximation of infinite horizon discounted cost Markov decision processes,, in Optimization, (2012), 59.  doi: 10.1007/978-0-8176-8337-5_4.  Google Scholar

[9]

D. P. de Farias and B. Van Roy, On the existence of fixed points for approximate value iteration and temporal difference learning,, Journal of Optimization Theory and Applications, 105 (2000), 589.  doi: 10.1023/A:1004641123405.  Google Scholar

[10]

G. J. Gordon, Stable function approximation in dynamic programming,, Proceedings of the Twelfth International Conference on Machine Learning, (1995), 261.  doi: 10.1016/B978-1-55860-377-6.50040-2.  Google Scholar

[11]

O. Hernández-Lerma, Adaptive Markov Control Processes,, Springer-Verlag, (1989).  doi: 10.1007/978-1-4419-8714-3.  Google Scholar

[12]

O. Hernández-Lerma and J. B. Lasserre, Discrete-Time Markov Control Processes. Basic Optimality Criteria,, Springer-Verlag, (1996).  doi: 10.1007/978-1-4612-0729-0.  Google Scholar

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O. Hernández-Lerma and J. B. Lasserre, Further Topics on Discrete-Time Markov Control Processes,, Springer-Verlag, (1999).  doi: 10.1007/978-1-4612-0561-6.  Google Scholar

[14]

D. R. Jiang and W. B. Powel, An approximate dynamic programming algorithm for monotone value functions,, Operations Research, 63 (2015), 1489.  doi: 10.1287/opre.2015.1425.  Google Scholar

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R. Munos, Performance bounds in $L_p$ -norm for approximate value iteration,, SIAM Journal on Control and Optimization, 46 (2007), 541.  doi: 10.1137/040614384.  Google Scholar

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W. P. Powell, Approximate Dynamic Programming. Solving the Curse of Dimensionality,, John Wiley & Sons Inc., (2007).  doi: 10.1002/9780470182963.  Google Scholar

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W. P. Powell and J. Ma, A review of stochastic algorithms with continuous value function approximation and some new approximate policy iteration alogrithms for multidimensional continuous applications,, Journal of Control Theory and Applications, 9 (2011), 336.  doi: 10.1007/s11768-011-0313-y.  Google Scholar

[18]

W. P. Powell, Perspectives of approximate dynamic programming,, Annals of Operations Research, 241 (2016), 319.  doi: 10.1007/s10479-012-1077-6.  Google Scholar

[19]

M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming,, Wiley, (1994).   Google Scholar

[20]

J. Rust, Numerical dynamic programming in economics,, in Handbook of Computational Economics, 1 (1996), 619.   Google Scholar

[21]

J. Stachurski, Continuous state dynamic programming via nonexpansive approximation,, Computational Economics, 31 (2008), 141.  doi: 10.1007/s10614-007-9111-5.  Google Scholar

[22]

J. Stachurski, Dynamic Economic: Theory and Computation,, MIT Press, (2009).   Google Scholar

[23]

S. Stidham Jr. and R. Weber, A survey of Markov decision models for control of networks of queues,, Queueing Systems, 13 (1993), 291.  doi: 10.1007/BF01158935.  Google Scholar

[24]

R. S. Sutton and A. G. Barto, Reinforcement Learning: An Introduction,, MIT Press, (1998).   Google Scholar

[25]

B. Van Roy, Performance loss bounds for approximate value iteration with state space aggregation,, Mathematics of Operations Research, 31 (2006), 234.  doi: 10.1287/moor.1060.0188.  Google Scholar

[26]

O. Vega-Amaya and R. Montes-de-Oca, Application of average dynamic programming to inventory systems,, Mathematical Methods of Operations Research, 47 (1998), 451.  doi: 10.1007/BF01198405.  Google Scholar

[27]

D. J. White, Real applications of Markov decision processes,, Interfaces, 15 (1985), 73.  doi: 10.1287/inte.15.6.73.  Google Scholar

[28]

D. J. White, Further real applications of Markov decision processes,, Interfaces, 18 (1988), 55.  doi: 10.1287/inte.18.5.55.  Google Scholar

[29]

D. J. White, A survey of applications of Markov decision processes,, The Journal of the Operational Research Society, 44 (1993), 1073.   Google Scholar

[30]

S. Yakowitz, Dynamic programming applications in water resources,, Water Resource Research, 18 (1982), 673.  doi: 10.1029/WR018i004p00673.  Google Scholar

[31]

W. W.-G. Yeh, Reservoir management and operation models: A state-of-the-art review,, Water Resource Research, 21 (1985), 1797.  doi: 10.1029/WR021i012p01797.  Google Scholar

show all references

References:
[1]

A. Almudevar, Approximate fixed point iteration with an application to infinite horizon Markov decision processes,, SIAM Journal on Control and Optimization, 47 (2008), 2303.  doi: 10.1137/S0363012904441520.  Google Scholar

[2]

E. F. Arruda, M. D. Fragoso and J. B. R. do Val, Approximate dynamic programming via direct search in the space of value function approximations,, European Journal of Operational Research, 211 (2011), 343.  doi: 10.1016/j.ejor.2010.11.019.  Google Scholar

[3]

D. P. Bertsekas, Dynamic Programming: Deterministic and Stochastic Models,, Prentice-Hall, (1987).   Google Scholar

[4]

D. P. Bertsekas, Approximate policy iteration: A survey and some new methods,, Journal of Control Theory and Applications, 9 (2011), 310.  doi: 10.1007/s11768-011-1005-3.  Google Scholar

[5]

D. P. Bertsekas and J. N. Tsitsiklis, Neuro-Dynamic Programming,, Athena Scientific, (1996).   Google Scholar

[6]

L. Beutel, H. Gonska and D. Kacsó, On variation-diminishing Shoenberg operators: new quantitative statements,, in Multivariate approximation and interpolations with applications (ed. M. Gasca), 20 (2002), 9.   Google Scholar

[7]

R. A. DeVore, The Approximation of Continuous Functions by Positive Linear Operators, Lectures Notes in Mathematics 293,, Springer-Verlag, (1972).   Google Scholar

[8]

F. Dufour and T. Prieto-Rumeau, Approximation of infinite horizon discounted cost Markov decision processes,, in Optimization, (2012), 59.  doi: 10.1007/978-0-8176-8337-5_4.  Google Scholar

[9]

D. P. de Farias and B. Van Roy, On the existence of fixed points for approximate value iteration and temporal difference learning,, Journal of Optimization Theory and Applications, 105 (2000), 589.  doi: 10.1023/A:1004641123405.  Google Scholar

[10]

G. J. Gordon, Stable function approximation in dynamic programming,, Proceedings of the Twelfth International Conference on Machine Learning, (1995), 261.  doi: 10.1016/B978-1-55860-377-6.50040-2.  Google Scholar

[11]

O. Hernández-Lerma, Adaptive Markov Control Processes,, Springer-Verlag, (1989).  doi: 10.1007/978-1-4419-8714-3.  Google Scholar

[12]

O. Hernández-Lerma and J. B. Lasserre, Discrete-Time Markov Control Processes. Basic Optimality Criteria,, Springer-Verlag, (1996).  doi: 10.1007/978-1-4612-0729-0.  Google Scholar

[13]

O. Hernández-Lerma and J. B. Lasserre, Further Topics on Discrete-Time Markov Control Processes,, Springer-Verlag, (1999).  doi: 10.1007/978-1-4612-0561-6.  Google Scholar

[14]

D. R. Jiang and W. B. Powel, An approximate dynamic programming algorithm for monotone value functions,, Operations Research, 63 (2015), 1489.  doi: 10.1287/opre.2015.1425.  Google Scholar

[15]

R. Munos, Performance bounds in $L_p$ -norm for approximate value iteration,, SIAM Journal on Control and Optimization, 46 (2007), 541.  doi: 10.1137/040614384.  Google Scholar

[16]

W. P. Powell, Approximate Dynamic Programming. Solving the Curse of Dimensionality,, John Wiley & Sons Inc., (2007).  doi: 10.1002/9780470182963.  Google Scholar

[17]

W. P. Powell and J. Ma, A review of stochastic algorithms with continuous value function approximation and some new approximate policy iteration alogrithms for multidimensional continuous applications,, Journal of Control Theory and Applications, 9 (2011), 336.  doi: 10.1007/s11768-011-0313-y.  Google Scholar

[18]

W. P. Powell, Perspectives of approximate dynamic programming,, Annals of Operations Research, 241 (2016), 319.  doi: 10.1007/s10479-012-1077-6.  Google Scholar

[19]

M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming,, Wiley, (1994).   Google Scholar

[20]

J. Rust, Numerical dynamic programming in economics,, in Handbook of Computational Economics, 1 (1996), 619.   Google Scholar

[21]

J. Stachurski, Continuous state dynamic programming via nonexpansive approximation,, Computational Economics, 31 (2008), 141.  doi: 10.1007/s10614-007-9111-5.  Google Scholar

[22]

J. Stachurski, Dynamic Economic: Theory and Computation,, MIT Press, (2009).   Google Scholar

[23]

S. Stidham Jr. and R. Weber, A survey of Markov decision models for control of networks of queues,, Queueing Systems, 13 (1993), 291.  doi: 10.1007/BF01158935.  Google Scholar

[24]

R. S. Sutton and A. G. Barto, Reinforcement Learning: An Introduction,, MIT Press, (1998).   Google Scholar

[25]

B. Van Roy, Performance loss bounds for approximate value iteration with state space aggregation,, Mathematics of Operations Research, 31 (2006), 234.  doi: 10.1287/moor.1060.0188.  Google Scholar

[26]

O. Vega-Amaya and R. Montes-de-Oca, Application of average dynamic programming to inventory systems,, Mathematical Methods of Operations Research, 47 (1998), 451.  doi: 10.1007/BF01198405.  Google Scholar

[27]

D. J. White, Real applications of Markov decision processes,, Interfaces, 15 (1985), 73.  doi: 10.1287/inte.15.6.73.  Google Scholar

[28]

D. J. White, Further real applications of Markov decision processes,, Interfaces, 18 (1988), 55.  doi: 10.1287/inte.18.5.55.  Google Scholar

[29]

D. J. White, A survey of applications of Markov decision processes,, The Journal of the Operational Research Society, 44 (1993), 1073.   Google Scholar

[30]

S. Yakowitz, Dynamic programming applications in water resources,, Water Resource Research, 18 (1982), 673.  doi: 10.1029/WR018i004p00673.  Google Scholar

[31]

W. W.-G. Yeh, Reservoir management and operation models: A state-of-the-art review,, Water Resource Research, 21 (1985), 1797.  doi: 10.1029/WR021i012p01797.  Google Scholar

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