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Neural Computation

March 1, 2004, Vol. 16, No. 3, Pages 491-499
(doi: 10.1162/089976604772744884)
© 2004 Massachusetts Institute of Technology
Kalman Filter Control Embedded into the Reinforcement Learning Framework
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There is a growing interest in using Kalman filter models in brain modeling. The question arises whether Kalman filter models can be used on-line not only for estimation but for control. The usual method of optimal control of Kalman filter makes use of off-line backward recursion, which is not satisfactory for this purpose. Here, it is shown that a slight modification of the linear-quadratic-gaussian Kalman filter model allows the on-line estimation of optimal control by using reinforcement learning and overcomes this difficulty. Moreover, the emerging learning rule for value estimation exhibits a Hebbian form, which is weighted by the error of the value estimation.