Accelerated modified policy iteration algorithms for Markov decision processes |
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| Authors: | Oleksandr Shlakhter Chi-Guhn Lee |
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| Affiliation: | 1. Joseph L. Rotman School of Management, University of Toronto, 105 St. George Street, Toronto, ON, M5S 3E6, Canada
2. Department of Mechanical and Industrial Engineering, University of Toronto, 5 King’s College Road, Toronto, ON, M5S 3G8, Canada
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| Abstract: | We propose a new approach to accelerate the convergence of the modified policy iteration method for Markov decision processes with the total expected discounted reward. In the new policy iteration an additional operator is applied to the iterate generated by Markov operator, resulting in a bigger improvement in each iteration. |
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