ON THE ASYMPTOTIC COST CONVERGENCE RATE OF THE MODIFIED METHOD OF SUCCESSIVE APPROXIMATIONS.

Abstract

The modified method of successive approximations of White, Schweitzer, MacQueen, and Odoni concentrates attention on cost differences either between successive stages, or relative to a base state in the same stage, rather than the total cost function itself. It is instructive to work out the actual asymptotic convergence rates of these constructs for the special case of a single fixed policy. Convergence is actually very powerful even for discount rates greater than 1.0, depending principally on the dominant eigenvalue of the transition matrix. The implications of this fact for the relative efficiencies of modified value interation, policy interation, policy iteration via successive approximations, or possible hybrids, are discussed. (Author)

Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1969
Accession Number
AD0698272

Entities

People

  • Thomas E. Morton

Organizations

  • Carnegie Mellon University

Tags

DTIC Thesaurus Topics

  • Convergence
  • Differential Equations
  • Efficiency
  • Eigenvalues
  • Iterations
  • Mathematical Analysis
  • Mathematics
  • Transitions

Readers

  • Mathematical Modeling and Probability Theory.
  • Systems Analysis and Design