PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with an Application to Optimal Mortgage Refinancing
CVL Raju and S Bhatnagar
In: 45th IEEE Conference on Decision and Control, San Diego(2006).

Abstract

We develop a simulation-based, two-timescale actor-critic algorithm for infinite horizon Markov decision processes with finite state and action spaces, with a discounted reward criterion. The algorithm is of the gradient ascent type and performs a search in the space of stationary randomized policies. The algorithm uses certain simultaneous deterministic perturbation stochastic approximation (SDPSA) gradient estimates for enhanced performance. Finally, we show an application of our algorithm on a problem of mortgage refinancing. Our algorithm obtains the optimal refinancing strategies in a computationally efficient manner.

EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Theory & Algorithms
ID Code:2828
Deposited By:Martin Anthony
Deposited On:22 November 2006