Abstract
Motivated by models of human decision making, we consider a heuristic solution for explore-exploit problems. In a numerical example we show that, with appropriate parameter values, the algorithm performs well. However, the parameters of the algorithm trade off exploration against exploitation in a complicated way so that finding the optimal parameter values is not obvious. We show that the optimal parameter values can be analytically computed in some cases and prove that suboptimal parameter tunings can provide robustness to modeling error. The analytic results suggest a feedback control law for dynamically optimizing parameters.
Original language | English (US) |
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Article number | 6426148 |
Pages (from-to) | 2820-2825 |
Number of pages | 6 |
Journal | Proceedings of the IEEE Conference on Decision and Control |
DOIs | |
State | Published - 2012 |
Externally published | Yes |
Event | 51st IEEE Conference on Decision and Control, CDC 2012 - Maui, HI, United States Duration: Dec 10 2012 → Dec 13 2012 |
ASJC Scopus subject areas
- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization