Cross-Entropic Learning of a Machine for the Decision in a Partially Observable Universe

Details Cross-Entropic Learning of a Machine for the Decision in a Partially Observable Universe Cross-Entropic Learning of a Machine for the Decision in a Partially Observable Universe

2006-05-18

arxiv.org/abs/math/0605498v1

Mathematics

Optimization and Control

Submitted to EJOR

Scientific paper

Revision of the paper previously entitled "Learning a Machine for the Decision in a Partially Observable Markov Universe" In this paper, we are interested in optimal decisions in a partially observable universe. Our approach is to directly approximate an optimal strategic tree depending on the observation. This approximation is made by means of a parameterized probabilistic law. A particular family of hidden Markov models, with input \emph{and} output, is considered as a model of policy. A method for optimizing the parameters of these HMMs is proposed and applied. This optimization is based on the cross-entropic principle for rare events simulation developed by Rubinstein.

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