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We consider a finite-state, continuous-time Markov process, represented in the "linear framework" by a directed graph with labelled edges which specifies the infinitesimal generator of the process. If the graph is strongly connected, the…

Biological Physics · Physics 2023-10-17 Ugur Cetiner , Jeremy Gunawardena

Markov decision processes (MDP) are a well-established model for sequential decision-making in the presence of probabilities. In robust MDP (RMDP), every action is associated with an uncertainty set of probability distributions, modelling…

Artificial Intelligence · Computer Science 2024-12-16 Tobias Meggendorfer , Maximilian Weininger , Patrick Wienhöft

We formalize the problem of maximizing the mean-payoff value with high probability while satisfying a parity objective in a Markov decision process (MDP) with unknown probabilistic transition function and unknown reward function. Assuming…

Artificial Intelligence · Computer Science 2018-08-24 Jan Křetínský , Guillermo A. Pérez , Jean-François Raskin

Influence diagrams are widely employed to represent multi-stage decision problems in which each decision is a choice from a discrete set of alternatives, uncertain chance events have discrete outcomes, and prior decisions may influence the…

Optimization and Control · Mathematics 2022-01-20 Ahti Salo , Juho Andelmin , Fabricio Oliveira

This paper studies the computation of robust deterministic policies for Markov Decision Processes (MDPs) in the Lightning Does Not Strike Twice (LDST) model of Mannor, Mebel and Xu (ICML '12). In this model, designed to provide robustness…

Optimization and Control · Mathematics 2024-12-18 Fei Wu , Erik Demeulemeester , Jannik Matuschke

Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…

Trading and Market Microstructure · Quantitative Finance 2020-06-29 Diego Zabaljauregui , Luciano Campi

Although many real-world stochastic planning problems are more naturally formulated by hybrid models with both discrete and continuous variables, current state-of-the-art methods cannot adequately address these problems. We present the…

Artificial Intelligence · Computer Science 2012-07-19 Carlos E. Guestrin , Milos Hauskrecht , Branislav Kveton

We consider multiple parallel Markov decision processes (MDPs) coupled by global constraints, where the time varying objective and constraint functions can only be observed after the decision is made. Special attention is given to how well…

Optimization and Control · Mathematics 2017-09-12 Xiaohan Wei , Hao Yu , Michael J. Neely

The online Markov decision process (MDP) is a generalization of the classical Markov decision process that incorporates changing reward functions. In this paper, we propose practical online MDP algorithms with policy iteration and…

Machine Learning · Computer Science 2015-10-16 Yao Ma , Hao Zhang , Masashi Sugiyama

We introduce a class of models for multidimensional control problems which we call skip-free Markov decision processes on trees. We describe and analyse an algorithm applicable to Markov decision processes of this type that are skip-free in…

Optimization and Control · Mathematics 2013-11-11 E. J. Collins

Modelling bounded rational decision-making through information constrained processing provides a principled approach for representing departures from rationality within a reinforcement learning framework, while still treating…

Machine Learning · Computer Science 2025-06-02 Benjamin Patrick Evans , Leo Ardon , Sumitra Ganesh

Online learning algorithms are designed to perform in non-stationary environments, but generally there is no notion of a dynamic state to model constraints on current and future actions as a function of past actions. State-based models are…

Machine Learning · Computer Science 2015-09-01 Peng Guan , Maxim Raginsky , Rebecca Willett

Partially observable Markov decision processes (POMDPs) are a powerful abstraction for tasks that require decision making under uncertainty, and capture a wide range of real world tasks. Today, effective planning approaches exist that…

Machine Learning · Statistics 2018-05-24 Sebastian Tschiatschek , Kai Arulkumaran , Jan Stühmer , Katja Hofmann

We propose a principled kernel-based policy iteration algorithm to solve the continuous-state Markov Decision Processes (MDPs). In contrast to most decision-theoretic planning frameworks, which assume fully known state transition models, we…

Robotics · Computer Science 2020-06-04 Junhong Xu , Kai Yin , Lantao Liu

Interval Markov decision processes (IMDPs) generalise classical MDPs by having interval-valued transition probabilities. They provide a powerful modelling tool for probabilistic systems with an additional variation or uncertainty that…

Systems and Control · Computer Science 2017-07-07 Ernst Moritz Hahn , Vahid Hashemi , Holger Hermanns , Morteza Lahijanian , Andrea Turrini

Robust Markov decision processes (MDPs) aim to handle changing or partially known system dynamics. To solve them, one typically resorts to robust optimization methods. However, this significantly increases computational complexity and…

Machine Learning · Computer Science 2023-03-14 Esther Derman , Yevgeniy Men , Matthieu Geist , Shie Mannor

We consider the reinforcement learning problem for the constrained Markov decision process (CMDP), which plays a central role in satisfying safety or resource constraints in sequential learning and decision-making. In this problem, we are…

Machine Learning · Computer Science 2025-11-19 Jiashuo Jiang , Yinyu Ye

Markov decision processes (MDPs) are used to model a wide variety of applications ranging from game playing over robotics to finance. Their optimal policy typically maximizes the expected sum of rewards given at each step of the decision…

Machine Learning · Computer Science 2025-05-26 Maximilian Nägele , Jan Olle , Thomas Fösel , Remmy Zen , Florian Marquardt

This paper studies Markov Decision Processes under parameter uncertainty. We adapt the distributionally robust optimization framework, and assume that the uncertain parameters are random variables following an unknown distribution, and…

Systems and Control · Computer Science 2015-05-14 Pengqian Yu , Huan Xu

The Markov Decision Process (MDP) is a popular framework for sequential decision-making problems, and uncertainty quantification is an essential component of it to learn optimal decision-making strategies. In particular, a Bayesian…

Machine Learning · Statistics 2025-05-06 Jiaqi Guo , Chon Wai Ho , Sumeetpal S. Singh