Chinthalapati, V. L. Raju and Bhatnagar, S. (2006) A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with an Application to Optimal Mortgage Refinancing. In: Decision and Control, 2006 45th IEEE Conference. IEEE Xplore, San Diego, CA, pp. 4151-4156. ISBN 1-4244-0171-2 (doi:10.1109/CDC.2006.376769)

Preview

PDF (OA Green: Available online through publisher's self archiving policy) 13361__Chinthalapati_Decision_and_Control,_2006_45th_IEEE_Conference_proceedings_(AAM)_with_statement.pdf - Accepted Version Download (1MB)

Abstract

Wedevelopasimulation-based,two-timescale actorcritic algorithm for infinite horizon Markov decision processes with finite state and action spaces, with a discounted reward criterion. The algorithm is of the gradient ascent type and performs a search in the space of stationary randomized policies. The algorithm uses certain simultaneous deterministic perturbation stochastic approximation (SDPSA) gradient estimates for enhanced performance. We show an application of our algorithm on a problem of mortgage refinancing. Our algorithm obtains the optimal refinancing strategies in a computationally efficient manner.

Item Type:	Conference Proceedings
Title of Proceedings:	Decision and Control, 2006 45th IEEE Conference
Additional Information:	[1] Date of Conference: 13-15 December 2006 [2] Conference Location : San Diego, CA [3] INSPEC Accession Number: 9430579 [4] Acknowledgement (funding): The first author acknowledges research funding from London School of Economics.
Uncontrolled Keywords:	Stochastic Optimization, Perturbation, Mortgage Refinancing, Approximation Algorithms.
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HF Commerce H Social Sciences > HF Commerce > HF5601 Accounting H Social Sciences > HG Finance
Faculty / School / Research Centre / Research Group:	Faculty of Business Faculty of Business > Department of Accounting & Finance
Related URLs:	Publisher Publisher
Last Modified:	14 Oct 2016 09:32
URI:	http://gala.gre.ac.uk/id/eprint/13361

Actions (login required)

View Item

Downloads