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Conference Papers Year : 2010

On the Convergence of Rolling Horizon Procedure and the Average Criterion

Abstract

We deal with the average criterion on Markov Decision Processes (MDP) to evaluate the performance of the policies. In IEEE A.Control, 35(10), Hernández-Lerma and Lasserre give some sufficient conditions for the convergence of the rolling horizon procedure. We present more general conditions based on properties of Markov chains and value iteration procedure.
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Dates and versions

hal-00864169 , version 1 (20-09-2013)

Identifiers

  • HAL Id : hal-00864169 , version 1

Cite

Eugenio Della Vecchia, Silvia C. Di Marco, Alain Jean-Marie. On the Convergence of Rolling Horizon Procedure and the Average Criterion. ALIO―INFORMS Joint International Meeting (INFORMS International Conference and XV CLAIO), 2010, Irene Loiseau, Jun 2010, Buenos Aires, Argentina. ⟨hal-00864169⟩
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