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On Implicit Approximation of the Bellman Equation
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SYSNO ASEP 0329804 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title On Implicit Approximation of the Bellman Equation Title Implicitní aproximace Bellmanovy rovnice Author(s) Pištěk, Miroslav (UTIA-B) RID, ORCID Source Title Proceedings of the 15th IFAC Symposium on Identification and System Parameter Estimation - SYSID 2009. - Saint-Malo : IFAC, 2009 Pages s. 1463-1468 Number of pages 6 s. Action 15th IFAC Symposium on Identification and System Parameter Estimation - SYSID 2009 Event date 06.07.2009-08.07.2009 VEvent location Saint-Malo Country FR - France Event type WRD Language eng - English Country FR - France Keywords function approximation ; Bellman equation Subject RIV BC - Control Systems Theory R&D Projects 2C06001 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) GA102/08/0567 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation In this article, an efficient algorithm for an optimal decision strategy approximation is introduced. It approximates the Bellman equation without omitting the principal uncertainty stemming from incomplete knowledge. Thus, the approximated optimal strategy retains the ability to constantly verify the current knowledge. An integral part of the proposed solution is a reduction in memory demands using HDMR approximation. The result of this method is a linear algebraic system for an approximated upper bound on the Bellman function. The analysis of the approximation error has not been considered here. One illustrative example has been completely resolved. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2010
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