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arXiv · 2501.08800

Markov decision processes: on the convergence of the Monte-Carlo first visit algorithm

Sylvain Delattre·Nicolas Fournier
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Abstract

We consider the Monte-Carlo first visit algorithm, of which the goal is to find the optimal control in a Markov decision process with finite state space and finite number of possible actions. We show its convergence when the discount factor is smaller than $1/2$.

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Sylvain Delattre, Nicolas Fournier. 2025-01-15. Markov decision processes: on the convergence of the Monte-Carlo first visit algorithm. https://arxiv.org/abs/2501.08800

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