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Communication Dans Un Congrès Année : 2010

On the Convergence of Rolling Horizon Procedure and the Average Criterion

Résumé

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 et versions

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

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  • HAL Id : hal-00864169 , version 1

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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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