Unbounded dynamic programming via the Q-transform
John Stachurski and
Alexis Akira Toda
Journal of Mathematical Economics, 2022, vol. 100, issue C
We propose a new approach to solving dynamic decision problems with unbounded rewards based on the transformations used in Q-learning. In our case, however, the objective of the transform is not learning. Rather, it is to convert an unbounded dynamic program into a bounded one. The approach is general enough to handle problems for which existing methods struggle, and yet simple relative to other techniques and accessible for applied work. We show by example that a variety of common decision problems satisfy our conditions.
Keywords: Dynamic programming; Optimality; Reinforcement learning (search for similar items in EconPapers)
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Working Paper: Unbounded Dynamic Programming via the Q-Transform (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:100:y:2022:i:c:s0304406822000143
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