Article ID: | iaor2004367 |
Country: | United States |
Volume: | 27 |
Issue: | 2 |
Start Page Number: | 294 |
End Page Number: | 311 |
Publication Date: | May 2002 |
Journal: | Mathematics of Operations Research |
Authors: | Borkar V.S. |
Keywords: | risk, control processes |
We propose for risk-sensitive control of finite Markov chains a counterpart of the popular Q-learning algorithm for classical Markov decision processes. The algorithm is shown to converge with probability one to the desired solution. The proof technique is an adaptation of the ordinary differential equation (a.d.e.) approach for the analysis of stochastic approximation algorithms, with most of the work involved used for the analysis of the specific o.d.e.s that arise.