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Approximate value iteration for continuous state space MDPs
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mdpsapproximatespacevalueiterationforstatecontinuous
Problem
I have a continuous state space MDP as a generative model. I input the state and action and it outputs the reward and the next state. Assume that I sampled $n$ state-reward-states. I wonder how I can implement value iteration using a function approximator. I couldn't find any implementation example online. Can you please point me some references?
Solution
There are two primary methods to deal with continuous state MDPs.
As for value function approximation, you can either go for a deterministic/stochastic black-box model or opt for fitted value iteration. You can find the algorithm for the same in pages 10-13 of this link.
- State-space discretization.
- Value function approximation.
As for value function approximation, you can either go for a deterministic/stochastic black-box model or opt for fitted value iteration. You can find the algorithm for the same in pages 10-13 of this link.
Context
StackExchange Computer Science Q#84556, answer score: 2
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