Shape-Constrained Estimation of Value Functions
نویسندگان
چکیده
منابع مشابه
Shape-constrained Estimation of Value Functions
We present a fully nonparametric method to estimate the value function, via simulation, in the context of expected infinite-horizon discounted rewards for Markov chains. Estimating such value functions plays an important role in approximate dynamic programming. We incorporate “soft information” into the estimation algorithm, such as knowledge of convexity, monotonicity, or Lipchitz constants. I...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2373294