Analysis of averages over distributions of Markov processes

• Autores: Patricio E. Valenzuela, Cristian R. Rojas, Håkan Hjalmarsson
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 98, 2018, págs. 354-357
• Idioma: inglés
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• Resumen

  • In problems of optimal control of Markov decision processes and optimal design of experiments, the occupation measure of a Markov process is designed in order to maximize a specific reward function. When the memory of such a process is too long, or the process is non-Markovian but mixing, it makes sense to approximate it by that of a shorter memory Markov process. This note provides a specific bound for the approximation error introduced in these schemes. The derived bound is then applied to the proposed solution of a recently introduced approach to optimal input design for nonlinear systems.