Cross-entropic learning of a machine for the decision in a partially observable universe

  • Authors:
  • Frédéric Dambreville

  • Affiliations:
  • Délégation Générale pour l'Armement, DGA/DET/CEP/ASC/GIP, Arcveil, France F 94114

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2007

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Abstract

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 (HMM), with input 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 (CE) principle for rare events simulation developed by Rubinstein.