Accelerating procedures of the value iteration algorithm for discounted Markov decision processes, based on a one-step lookahead analysis

Accelerating procedures of the value iteration algorithm for discounted Markov decision processes, based on a one-step lookahead analysis

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Article ID: iaor19961328
Country: United States
Volume: 42
Issue: 5
Start Page Number: 940
End Page Number: 946
Publication Date: Sep 1994
Journal: Operations Research
Authors: ,
Keywords: programming: dynamic
Abstract:

Accelerating procedures for solving discounted Markov decision processes problems are developed based on a one-step lookahead analysis of the value iteration algorithm. The authors apply the criteria of minimum difference and minimum variance to obtain good adaptive relaxation factors that speed up the convergence of the algorithm. Several problems (including Howard’s automobile replacement) are tested and a preliminary numerical evaluation reveals considerable reductions in computation time when compared to existing value iteration schemes.

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