A model reference adaptive search method for stochastic optimization with applications to Markov decision processes

Jiaqiao Hu; Michael C. Fu; Steven I. Marcus

doi:10.1109/CDC.2007.4434328

A model reference adaptive search method for stochastic optimization with applications to Markov decision processes

Jiaqiao Hu
, Michael C. Fu
, Steven I. Marcus

Applied Mathematics and Statistics

University of Maryland, College Park

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

6 Scopus citations

Abstract

We propose a randomized search method called Stochastic Model Reference Adaptive Search (SMRAS) for solving stochastic optimization problems. We present its global convergence properties in a general stochastic setting, and explore its applications for solving Markov decision processes.

Original language	English
Title of host publication	Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	975-980
Number of pages	6
ISBN (Print)	1424414989, 9781424414987
DOIs	https://doi.org/10.1109/CDC.2007.4434328
State	Published - 2007
Event	46th IEEE Conference on Decision and Control 2007, CDC - New Orleans, LA, United States Duration: Dec 12 2007 → Dec 14 2007

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Conference

Conference	46th IEEE Conference on Decision and Control 2007, CDC
Country/Territory	United States
City	New Orleans, LA
Period	12/12/07 → 12/14/07

Access to Document

10.1109/CDC.2007.4434328

Cite this

Hu, J., Fu, M. C., & Marcus, S. I. (2007). A model reference adaptive search method for stochastic optimization with applications to Markov decision processes. In Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC (pp. 975-980). Article 4434328 (Proceedings of the IEEE Conference on Decision and Control). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC.2007.4434328

Hu, Jiaqiao ; Fu, Michael C. ; Marcus, Steven I. / A model reference adaptive search method for stochastic optimization with applications to Markov decision processes. Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC. Institute of Electrical and Electronics Engineers Inc., 2007. pp. 975-980 (Proceedings of the IEEE Conference on Decision and Control).

@inproceedings{41cef16784bc44b9a5b974ccdb1fbdce,

title = "A model reference adaptive search method for stochastic optimization with applications to Markov decision processes",

abstract = "We propose a randomized search method called Stochastic Model Reference Adaptive Search (SMRAS) for solving stochastic optimization problems. We present its global convergence properties in a general stochastic setting, and explore its applications for solving Markov decision processes.",

author = "Jiaqiao Hu and Fu, \{Michael C.\} and Marcus, \{Steven I.\}",

year = "2007",

doi = "10.1109/CDC.2007.4434328",

language = "English",

isbn = "1424414989",

series = "Proceedings of the IEEE Conference on Decision and Control",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "975--980",

booktitle = "Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC",

note = "46th IEEE Conference on Decision and Control 2007, CDC ; Conference date: 12-12-2007 Through 14-12-2007",

}

Hu, J, Fu, MC & Marcus, SI 2007, A model reference adaptive search method for stochastic optimization with applications to Markov decision processes. in Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC., 4434328, Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc., pp. 975-980, 46th IEEE Conference on Decision and Control 2007, CDC, New Orleans, LA, United States, 12/12/07. https://doi.org/10.1109/CDC.2007.4434328

A model reference adaptive search method for stochastic optimization with applications to Markov decision processes. / Hu, Jiaqiao; Fu, Michael C.; Marcus, Steven I.
Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC. Institute of Electrical and Electronics Engineers Inc., 2007. p. 975-980 4434328 (Proceedings of the IEEE Conference on Decision and Control).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - A model reference adaptive search method for stochastic optimization with applications to Markov decision processes

AU - Hu, Jiaqiao

AU - Fu, Michael C.

AU - Marcus, Steven I.

PY - 2007

Y1 - 2007

N2 - We propose a randomized search method called Stochastic Model Reference Adaptive Search (SMRAS) for solving stochastic optimization problems. We present its global convergence properties in a general stochastic setting, and explore its applications for solving Markov decision processes.

AB - We propose a randomized search method called Stochastic Model Reference Adaptive Search (SMRAS) for solving stochastic optimization problems. We present its global convergence properties in a general stochastic setting, and explore its applications for solving Markov decision processes.

UR - https://www.scopus.com/pages/publications/62749179682

U2 - 10.1109/CDC.2007.4434328

DO - 10.1109/CDC.2007.4434328

M3 - Conference contribution

AN - SCOPUS:62749179682

SN - 1424414989

SN - 9781424414987

T3 - Proceedings of the IEEE Conference on Decision and Control

SP - 975

EP - 980

BT - Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 46th IEEE Conference on Decision and Control 2007, CDC

Y2 - 12 December 2007 through 14 December 2007

ER -

Hu J, Fu MC, Marcus SI. A model reference adaptive search method for stochastic optimization with applications to Markov decision processes. In Proceedings of the 46th IEEE Conference on Decision and Control 2007, CDC. Institute of Electrical and Electronics Engineers Inc. 2007. p. 975-980. 4434328. (Proceedings of the IEEE Conference on Decision and Control). doi: 10.1109/CDC.2007.4434328

A model reference adaptive search method for stochastic optimization with applications to Markov decision processes

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