Decision Making in Large Scale Systems

Lecture Notes

LEC #	TOPICS	LECTURE NOTES
1	Markov Decision Processes Finite-Horizon Problems: Backwards Induction Discounted-Cost Problems: Cost-to-Go Function, Bellman’s Equation	(PDF)
2	Value Iteration Existence and Uniqueness of Bellman’s Equation Solution Gauss-Seidel Value Iteration	(PDF)
3	Optimality of Policies derived from the Cost-to-Go Function Policy Iteration Asynchronous Policy Iteration	(PDF)
4	Average-Cost Problems Relationship with Discounted-Cost Problems Bellman’s Equation Blackwell Optimality	(PDF)
5	Average-Cost Problems Computational Methods	(PDF)
6	Application of Value Iteration to Optimization of Multiclass Queueing Networks Introduction to Simulation-based Methods Real-Time Value Iteration	(PDF)
7	Q-Learning Stochastic Approximations	(PDF)
8	Stochastic Approximations: Lyapunov Function Analysis The ODE Method Convergence of Q-Learning	(PDF)
9	Exploration versus Exploitation: The Complexity of Reinforcement Learning	(PDF)
10	Introduction to Value Function Approximation Curse of Dimensionality Approximation Architectures	(PDF)
11	Model Selection and Complexity	(PDF)
12	Introduction to Value Function Approximation Algorithms Performance Bounds	(PDF)
13	Temporal-Difference Learning with Value Function Approximation	(PDF)
14	Temporal-Difference Learning with Value Function Approximation (cont.)	(PDF)
15	Temporal-Difference Learning with Value Function Approximation (cont.) Optimal Stopping Problems General Control Problems	(PDF)
16	Approximate Linear Programming	(PDF)
17	Approximate Linear Programming (cont.)	(PDF)
18	Efficient Solutions for Approximate Linear Programming	(PDF)
19	Efficient Solutions for Approximate Linear Programming: Factored MDPs	(PDF)
20	Policy Search Methods	(PDF)
21	Policy Search Methods (cont.)	(PDF)
22	Policy Search Methods for POMDPs Application: Call Admission Control Actor-Critic Methods
23	Approximate POMDP Compression
24	Policy Search Methods: PEGASUS Application: Helicopter Control