We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Bias and Variance Approximation in Value Function Estimates.
- Authors
Mannor, Shie; Simester, Duncan; Peng Sun; Tsitsiklis, John N.
- Abstract
We consider a finite-state, finite-action, infinite-horizon, discounted reward Markov decision process and study the bias and variance in the value function estimates that result from empirical estimates of the model parameters. We provide closed-form approximations for the bias and variance, which can then be used to derive confidence intervals around the value function estimates. We illustrate and validate our findings using a large database describing the transaction and mailing histories for customers of a mail-order catalog firm.
- Subjects
MARKOV processes; DECISION making; DISCRIMINATION (Sociology); VARIANCES; SIMULATION methods &; models; DATABASES; EMPIRICAL research; MAILINGS
- Publication
Management Science, 2007, Vol 53, Issue 2, p308
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.1060.0614