Static and Dynamic Aspects of Optimal Sequential Decision Making. Szepesvári, C. Ph.D. Thesis, Bolyai Institute of Mathematics, University of Szeged, Szeged, Aradi vrt. tere 1, HUNGARY, 6720, September, 1998.
Static and Dynamic Aspects of Optimal Sequential Decision Making [pdf]Paper  abstract   bibtex   
Foreword: In this thesis the theory of optimal sequential decisions having a general recursive structure is investigated via an operator theoretical approach, the recursive structure (of both of the dynamics and the optimality criterion) being encoded into the so-called cost propagation operator. Decision problems like Markovian Decision Problems with expected or worst-case total discounted/undiscounted cost criterion; repeated zero-sum games such as Markov-games; or alternating Markov-games all admit such a recursive structure. Our setup has the advantage that it emphasizes their common properties as well as it points out some differences. The thesis consists of two parts, in the first part the model is assumed to be known while in the second one the models are to be explored. The setup of Part I is rather abstract but enables a unified treatment of a large class of sequential decision problems, namely the class when the total cost of decision policies is defined recursively by a so called cost propagation operator. Under natural monotonicity and continuity conditions the greedy policies w.r.t. the optimal cost-to-go function turn out to be optimal, due to the recursive structure. Part II considers the case when the models are unknown, and have to be explored and learnt. The price of considering unknown models is that here we have to restrict ourselves to models with an additive cost structure in order to obtain tractable learning situations. The almost sure convergence of the most frequently used algorithms proposed in the reinforcement learning community is proved. These algorithms are treated as multidimensional asynchronous stochastic approximation schemes and their convergence is deduced from the main theorem of the second part. The key of the method here is the so called rescaling property of certain homogeneous processes. A practical and verifiable sufficient condition for the convergence of on-line learning policies to an optimal policy is formulated and a convergence rate is established.

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