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线性bellman方程：理论与应用Linear Bellman Equations: Theory and Applications |
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| 课程网址: | http://videolectures.net/nipsworkshops09_todorov_lbeta/ |
| 主讲教师: | Emanuel Todorov |
| 开课单位: | 华盛顿大学 |
| 开课时间: | 2010-01-19 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | I will provide a brief overview of a class stochastic optimal control problems recently developed by our group as well as by Bert Kappen's group. This problem class is quite general and yet has a number of unique properties, including linearity of the exponentially-transformed (Hamilton-Jacobi) Bellman equation, duality with Bayesian inference, convexity of the inverse optimal control problem, compositionality of optimal control laws, path-integral representation of the exponentially-transformed value function. I will then focus on function approximation methods that exploit the linearity of the Bellman equation, and illustrate how such methods scale to high-dimensional continuous dynamical systems. Computing the weights for a fixed set of basis functions can be done very efficiently by solving a large but sparse linear problem. This enables us to work with hundreds of millions of (localized) bases. Still, the volume of a high-dimensional state space is too large to be filled with localized bases, forcing us to consider adaptive methods for positioning and shaping those bases. Several such methods will be compared. |
| 关 键 词: | 控制问题; 指数变换; 贝叶斯 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-09-07：lxf |
| 阅读次数: | 54 |