Related papers: Variance-Based Risk Estimations in Markov Processe…
In the framework of MDP, although the general reward function takes three arguments-current state, action, and successor state; it is often simplified to a function of two arguments-current state and action. The former is called a…
In reinforcement learning, the reward function on current state and action is widely used. When the objective is about the expectation of the (discounted) total reward only, it works perfectly. However, if the objective involves the total…
In this paper, we consider Markov Decision Processes (MDPs) with error states. Error states are those states entering which is undesirable or dangerous. We define the risk with respect to a policy as the probability of entering such a state…
We study the estimation of risk-sensitive policies in reinforcement learning problems defined by a Markov Decision Process (MDPs) whose state and action spaces are countably finite. Prior efforts are predominately afflicted by computational…
In this paper we extend temporal difference policy evaluation algorithms to performance criteria that include the variance of the cumulative reward. Such criteria are useful for risk management, and are important in domains such as finance…
In many domains, the exploration process of reinforcement learning will be too costly as it requires trying out suboptimal policies, resulting in a need for off-policy evaluation, in which a target policy is evaluated based on data…
Markov reward processes (MRPs) are used to model stochastic phenomena arising in operations research, control engineering, robotics, and artificial intelligence, as well as communication and transportation networks. In many of these cases,…
A popular perspective in Reinforcement learning (RL) casts the problem as probabilistic inference on a graphical model of the Markov decision process (MDP). The core object of study is the probability of each state-action pair being visited…
Reinforcement Learning (RL) has gained substantial attention across diverse application domains and theoretical investigations. Existing literature on RL theory largely focuses on risk-neutral settings where the decision-maker learns to…
Asymptotic properties of Markov Processes, such as steady state probabilities or hazard rate for absorbing states can be efficiently calculated by means of linear algebra even for large-scale problems. This paper discusses the methods for…
We develop importance sampling based efficient simulation techniques for three commonly encountered rare event probabilities associated with random walks having i.i.d. regularly varying increments; namely, 1) the large deviation…
We consider reinforcement learning in changing Markov Decision Processes where both the state-transition probabilities and the reward functions may vary over time. For this problem setting, we propose an algorithm using a sliding window…
Our goal is to extract useful knowledge from demonstrations of behavior in sequential decision-making problems. Although it is well-known that humans commonly engage in risk-sensitive behaviors in the presence of stochasticity, most Inverse…
We provide a new algorithm for solving Risk Sensitive Partially Observable Markov Decisions Processes, when the risk is modeled by a utility function, and both the state space and the space of observations is finite. This algorithm is based…
Markov decision processes (MDPs) are the defacto frame-work for sequential decision making in the presence ofstochastic uncertainty. A classical optimization criterion forMDPs is to maximize the expected discounted-sum pay-off, which…
We consider undiscounted reinforcement learning in Markov decision processes (MDPs) where both the reward functions and the state-transition probabilities may vary (gradually or abruptly) over time. For this problem setting, we propose an…
A Markov decision process can be parameterized by a transition kernel and a reward function. Both play essential roles in the study of reinforcement learning as evidenced by their presence in the Bellman equations. In our inquiry of various…
Reinforcement Learning (RL) based methods have seen their paramount successes in solving serial decision-making and control problems in recent years. For conventional RL formulations, Markov Decision Process (MDP) and state-action-value…
This paper considers a class of reinforcement-based learning (namely, perturbed learning automata) and provides a stochastic-stability analysis in repeatedly-played, positive-utility, finite strategic-form games. Prior work in this class of…
We study the problem of learning Markov decision processes with finite state and action spaces when the transition probability distributions and loss functions are chosen adversarially and are allowed to change with time. We introduce an…