Bias and variance approximation in value function estimates

Bias and variance approximation in value function estimates

0.00 Avg rating0 Votes
Article ID: iaor20082753
Country: United States
Volume: 53
Issue: 2
Start Page Number: 308
End Page Number: 322
Publication Date: Feb 2007
Journal: Management Science
Authors: , , ,
Abstract:

We consider a finite-state, finite-action, infinite-horizon, discounted reward Markov decision process and study the bias and variance in the value function estimates that result from empirical estimates of the model parameters. We provide closed-form approximations for the bias and variance, which can then be used to derive confidence intervals around the value function estimates. We illustrate and validate our findings using a large database describing the transaction and mailing histories for customers of a mail-order catalog firm.

Reviews

Required fields are marked *. Your email address will not be published.