Reference : Relaxation schemes for min max generalization in deterministic batch mode reinforcement ...

	Document type :	Scientific congresses and symposiums : Unpublished conference
	Discipline(s) :	Engineering, computing & technology : Computer science
	To cite this reference:	http://hdl.handle.net/2268/103489

Title :	Relaxation schemes for min max generalization in deterministic batch mode reinforcement learning
Language :	English
Author, co-author :	Fonteneau, Raphaël [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation >]
	Ernst, Damien [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Smart grids >]
	Boigelot, Bernard [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Informatique >]
	Louveaux, Quentin [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Système et modélisation : Optimisation discrète >]
Publication date :	Dec-2011
On invitation :	No
Audience :	International
Event name :	4th International NIPS Workshop on Optimization for Machine Learning (OPT 2011)
Event date :	December 16th, 2011
Event place (city) :	Sierra Nevada
Event country :	Spain
Keywords :	[en] Batch mode reinforcement learning ; Min max generalization ; Non-convex optimization
Abstract :	[en] We study the min max optimization problem introduced in [Fonteneau, 2011] for computing policies for batch mode reinforcement learning in a deterministic setting. This problem is NP-hard. We focus on the two-stage case for which we provide two relaxation schemes. The first relaxation scheme works by dropping some constraints in order to obtain a problem that is solvable in polynomial time. The second relaxation scheme, based on a Lagrangian relaxation where all constraints are dualized, leads to a conic quadratic programming problem. Both relaxation schemes are shown to provide better results than those given in [Fonteneau, 2011].
Funders :	Fonds de la Recherche Scientifique (Communauté française de Belgique) - F.R.S.-FNRS
Permalink :	http://hdl.handle.net/2268/103489

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