Related papers: Artificial intelligence applied to bailout decisio…
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 rapid adoption of artificial intelligence (AI) poses new and poorly understood threats to financial stability. We use a game-theoretic model to analyse the stability impact of AI, finding that it amplifies existing financial system…
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…
In many practical sequential decision-making problems, tracking the state of the environment incurs a sensing/communication/computation cost. In these settings, the agent's interaction with its environment includes the additional component…
In this work, we consider a cooperative multi-agent Markov decision process (MDP) involving m agents. At each decision epoch, all the m agents independently select actions in order to maximize a common long-term objective. In the policy…
Sequential decisions in volatile, high-stakes settings require more than maximizing expected return; they require principled uncertainty management. This paper presents the Uncertainty-Aware Markov Decision Process (UAMDP), a unified…
Many real-world applications, such as those in medical domains, recommendation systems, etc, can be formulated as large state space reinforcement learning problems with only a small budget of the number of policy changes, i.e., low…
Moving Target Defense (MTD) is an emerging game-changing defense strategy in cybersecurity with the goal of strengthening defenders and conversely puzzling adversaries in a network environment. The successful deployment of an MTD system can…
We consider risk-sensitive Markov decision processes (MDPs), where the MDP model is influenced by a parameter which takes values in a compact metric space. We identify sufficient conditions under which small perturbations in the model…
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…
We consider an auto-scaling technique in a cloud system where virtual machines hosted on a physical node are turned on and off depending on the queue's occupation (or thresholds), in order to minimise a global cost integrating both energy…
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,…
Markov Decision Processes (MDPs) are an effective way to formally describe many Machine Learning problems. In fact, recently MDPs have also emerged as a powerful framework to model financial trading tasks. For example, financial MDPs can…
We present a general framework for applying machine-learning algorithms to the verification of Markov decision processes (MDPs). The primary goal of these techniques is to improve performance by avoiding an exhaustive exploration of the…
Predicting the probability of default (PD) of prospective loans is a critical objective for financial institutions. In recent years, machine learning (ML) algorithms have achieved remarkable success across a wide variety of prediction…
We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a…
With the rapid development of technology, blockchain and artificial intelligence technology are playing a huge role in all walks of life. In the financial sector, blockchain solves many security problems in data storage and management in…
We study the synthesis of mode switching protocols for a class of discrete-time switched linear systems in which the mode jumps are governed by Markov decision processes (MDPs). We call such systems MDP-JLS for brevity. Each state of the…
This paper studies convergence properties of optimal values and actions for discounted and average-cost Markov Decision Processes (MDPs) with weakly continuous transition probabilities and applies these properties to the stochastic…
We consider the framework of transfer-entropy-regularized Markov Decision Process (TERMDP) in which the weighted sum of the classical state-dependent cost and the transfer entropy from the state random process to the control random process…