A Reinforcement Learning Algorithm Using Multi-Layer Artificial Neural Networks for Semi-Markov Decision Problems

Real life problems are generally large-scale and difficult to model. Therefore, these problems can't be mostly solved by classical optimisation methods. This paper presents a reinforcement learning algorithm using a multi-layer artificial neural network to find an approximate solution for large-scale semi Markov decision problems. Performance of the developed algorithm is measured and compared to the classical reinforcement algorithm on a small-scale numerical example. According to results of numerical examples, a number of hidden layer are the key success factors, and average cost of the solution generated by the developed algorithm is approximately equal to that generated by the classical reinforcement algorithm