BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Multiply accelerated value iteration for affine fixed point proble
 ms and application to Markov decision processes - Omar Saadi (UM6P)
DTSTART:20230307T150000Z
DTEND:20230307T160000Z
UID:TALK198001@talks.cam.ac.uk
CONTACT:Hamza Fawzi
DESCRIPTION:We analyze a modified version of Nesterov accelerated gradient
  algorithm\, which applies to affine fixed point problems with non self-ad
 joint matrices\, such as the ones appearing in the theory of Markov decisi
 on processes with discounted or mean payoff criteria. We characterize the 
 spectra of matrices for which this algorithm does converge with an acceler
 ated asymptotic rate. We also introduce a dth-order algorithm\, and show t
 hat it yields a multiply accelerated rate under more demanding conditions 
 on the spectrum. We subsequently apply these methods to develop accelerate
 d schemes for non-linear fixed point problems arising from Markov decision
  processes. 
LOCATION:Centre for Mathematical Sciences\, MR4
END:VEVENT
END:VCALENDAR