Related papers: Online Markov decision processes with Kullback-Lei…
Besides the recent impressive results on reinforcement learning (RL), safety is still one of the major research challenges in RL. RL is a machine-learning approach to determine near-optimal policies in Markov decision processes (MDPs). In…
For a large class of Markov Decision Processes, stationary (possibly randomized) policies are globally optimal. However, in Borel state and action spaces, the computation and implementation of even such stationary policies are known to be…
This paper studies the operation of multi-agent networks engaged in multi-task decision problems under the paradigm of simultaneous learning and adaptation. Two scenarios are considered: one in which a decision must be taken among multiple…
In this paper, we propose and analyze a new method for online linear quadratic regulator (LQR) control with a priori unknown time-varying cost matrices. The cost matrices are revealed sequentially with the potential for future values to be…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…
The assignment of tasks to multiple resources becomes an interesting game theoretic problem, when both the task owner and the resources are strategic. In the classical, nonstrategic setting, where the states of the tasks and resources are…
Motivated from Bertsekas' recent study on policy iteration (PI) for solving the problems of infinite-horizon discounted Markov decision processes (MDPs) in an on-line setting, we develop an off-line PI integrated with a multi-policy…
Models of many real-life applications, such as queuing models of communication networks or computing systems, have a countably infinite state-space. Algorithmic and learning procedures that have been developed to produce optimal policies…
We measure the influence of individual observations on the sequence of the hidden states of the Hidden Markov Model (HMM) by means of the Kullback-Leibler distance (KLD). Namely, we consider the KLD between the conditional distribution of…
In this work we address the problem of finding feasible policies for Constrained Markov Decision Processes under probability one constraints. We argue that stationary policies are not sufficient for solving this problem, and that a rich…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
In this paper, we present an online reinforcement learning algorithm for constrained Markov decision processes with a safety constraint. Despite the necessary attention of the scientific community, considering stochastic stopping time, the…
We study the problem of online learning with dynamics, where a learner interacts with a stateful environment over multiple rounds. In each round of the interaction, the learner selects a policy to deploy and incurs a cost that depends on…
A Markov decision problem is called reversible if the stationary controlled Markov chain is reversible under every stationary Markovian strategy. A natural application in which such problems arise is in the control of Metropolis-Hastings…
Decision-making under distribution shift is a central challenge in reinforcement learning (RL), where training and deployment environments differ. We study this problem through the lens of robust Markov decision processes (RMDPs), which…
We consider online reinforcement learning in episodic Markov decision process (MDP) with unknown transition function and stochastic rewards drawn from some fixed but unknown distribution. The learner aims to learn the optimal policy and…
For a Markov decision process with countably infinite states, the optimal value may not be achievable in the set of stationary policies. In this paper, we study the existence conditions of an optimal stationary policy in a countable-state…
In this article, a model predictive control (MPC) method is proposed for constrained linear systems to track bounded references with arbitrary dynamics. Besides control inputs to be determined, artificial reference is introduced as…
A mean-field selective optimal control problem of multipopulation dynamics via transient leadership is considered. The agents in the system are described by their spatial position and their probability of belonging to a certain population.…