Structural Estimation of Markov Decision Processes in High-Dimensional State Space with Finite-Time Guarantees
高维状态空间中具有有限时间保证的马尔可夫决策过程结构估计
We consider the task of estimating a structural model of dynamic decisions by a human agent based upon the observable history of implemented actions and visited states. This problem has an inherent nested structure: in the inner problem, an optimal policy for a given reward function is identified while in the outer problem, a measure of fit is maximized. Several approaches have been proposed to alleviate the computational burden of this nested-loop structure, but these…