Approximate Dynamic Programming Based on High Dimensional Model Representation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F13%3A00399560" target="_blank" >RIV/67985556:_____/13:00399560 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Approximate Dynamic Programming Based on High Dimensional Model Representation

Original language description

This article introduces an algorithm for implicit High Dimensional Model Representation (HDMR) of the Bellman equation. This approximation technique reduces memory demands of the algorithm considerably. Moreover, we show that HDMR enables fast approximate min- imization which is essential for evaluation of the Bellman function. In each time step, the problem of parametrized HDMR minimization is relaxed into trust region problems, all sharing the same matrix. Finding its eigenvalue decomposition, we effectively achieve estimates of all minima. Their full-domain representation is avoided by HDMR and then the same approach is used recursively in the next time step. An illustrative example of N-armed bandit problem is included. We assume that the newly established connection between approximate HDMR minimization and the trust region problem can be beneficial also to many other applications.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BC - Theory and management systems

OECD FORD branch

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Project

<a href="/en/project/GAP102%2F11%2F0437" target="_blank" >GAP102/11/0437: Control and Parameter Identification of AC Electric Drives under Critical Operating Conditions</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

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Volume of the periodical

49

Issue of the periodical within the volume

5

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

18

Pages from-to

720-737

UT code for WoS article

000328665200004

EID of the result in the Scopus database

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