Related papers: A convex programming approach for discrete-time Ma…

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…

In this paper, we consider reinforcement learning of Markov Decision Processes (MDP) with peak constraints, where an agent chooses a policy to optimize an objective and at the same time satisfy additional constraints. The agent has to take…

We investigate the problem of optimal control synthesis for Markov Decision Processes (MDPs), addressing both qualitative and quantitative objectives. Specifically, we require the system to satisfy a qualitative task specified by a Linear…

We consider the linear programming approach for constrained and unconstrained Markov decision processes (MDPs) under the long-run average cost criterion, where the class of MDPs in our study have Borel state spaces and discrete countable…

This papers deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and transition measure, and the goal is to minimize the total…

This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…

In this paper, we develop a method to automatically generate a control policy for a dynamical system modeled as a Markov Decision Process (MDP). The control specification is given as a Linear Temporal Logic (LTL) formula over a set of…

This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the inherent time inconsistency, we look for a randomized…

We study the relation between different Markov Decision Process (MDP) frameworks in the machine learning and econometrics literatures, including the standard MDP, the entropy and general regularized MDP, and stochastic MDP, where the latter…

We introduce and study constrained Markov Decision Processes (cMDPs) with anytime constraints. An anytime constraint requires the agent to never violate its budget at any point in time, almost surely. Although Markovian policies are no…

The goal of a traditional Markov decision process (MDP) is to maximize expected cumulative reward over a defined horizon (possibly infinite). In many applications, however, a decision maker may be interested in optimizing a specific…

The problem of constrained Markov decision process (CMDP) is investigated, where an agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its utilities/costs. A new primal-dual approach is…

A large class of decision making under uncertainty problems can be described via Markov decision processes (MDPs) or partially observable MDPs (POMDPs), with application to artificial intelligence and operations research, among others.…

The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…

We propose a general framework for entropy-regularized average-reward reinforcement learning in Markov decision processes (MDPs). Our approach is based on extending the linear-programming formulation of policy optimization in MDPs to…

This paper deals with the unconstrained and constrained cases for continuous-time Markov decision processes under the finite-horizon expected total cost criterion. The state space is denumerable and the transition and cost rates are allowed…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…

In robust Markov decision processes (MDPs), the uncertainty in the transition kernel is addressed by finding a policy that optimizes the worst-case performance over an uncertainty set of MDPs. While much of the literature has focused on…

We consider Markov decision processes (MDPs) in which the transition probabilities and rewards belong to an uncertainty set parametrized by a collection of random variables. The probability distributions for these random parameters are…