Related papers: Risk-Averse Decision Making Under Uncertainty

In the theory of Partially Observed Markov Decision Processes (POMDPs), existence of optimal policies have in general been established via converting the original partially observed stochastic control problem to a fully observed one on the…

In this work, we focus on the problem of safe policy transfer in reinforcement learning: we seek to leverage existing policies when learning a new task with specified constraints. This problem is important for safety-critical applications…

In this work, we study discrete-time Markov decision processes (MDPs) under constraints with Borel state and action spaces and where all the performance functions have the same form of the expected total reward (ETR) criterion over the…

In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces and unbounded cost under both finite and infinite planning horizons. Our optimality criterion is based on the recursive…

We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…

In this paper, we focus on the problem of robustifying reinforcement learning (RL) algorithms with respect to model uncertainties. Indeed, in the framework of model-based RL, we propose to merge the theory of constrained Markov decision…

We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP is assumed to have Borel state and action spaces and the cost…

Autonomous agents are limited in their ability to observe the world state. Partially observable Markov decision processes (POMDPs) formally model the problem of planning under world state uncertainty, but POMDPs with continuous actions and…

Stochastic domains often involve risk-averse decision makers. While recent work has focused on how to model risk in Markov decision processes using risk measures, it has not addressed the problem of solving large risk-averse formulations.…

Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to…

Markov Decision Processes (MDPs) offer a fairly generic and powerful framework to discuss the notion of optimal policies for dynamic systems, in particular when the dynamics are stochastic. However, computing the optimal policy of an MDP…

Solving partially observable Markov decision processes (POMDPs) is highly intractable in general, at least in part because the optimal policy may be infinitely large. In this paper, we explore the problem of finding the optimal policy from…

Inspired by Shapiro et al.~\cite{shapiro2023episodic}, we consider a stochastic optimal control (SOC) and Markov decision process (MDP) where the risks arising from epistemic and aleatoric uncertainties are assessed using Bayesian composite…

We consider large-scale Markov decision processes (MDPs) with an unknown cost function and employ stochastic convex optimization tools to address the problem of imitation learning, which consists of learning a policy from a finite set of…

Safety in stochastic control systems, which are subject to random noise with a known probability distribution, aims to compute policies that satisfy predefined operational constraints with high confidence throughout the uncertain evolution…

Planning robust executions under uncertainty is a fundamental challenge for building autonomous robots. Partially Observable Markov Decision Processes (POMDPs) provide a standard framework for modeling uncertainty in many applications. In…

Risk-sensitive planning aims to identify policies maximizing some tail-focused metrics in Markov Decision Processes (MDPs). Such an optimization task can be very costly for the most widely used and interpretable metrics such as threshold…

Markov Decision Processes (MDPs) are a formal framework for modeling and solving sequential decision-making problems. In finite-time horizons such problems are relevant for instance for optimal stopping or specific supply chain problems,…

Markov Decision Processes (MDPs) are a popular class of models suitable for solving control decision problems in probabilistic reactive systems. We consider parametric MDPs (pMDPs) that include parameters in some of the transition…

A basic model in sequential decision making is the Markov decision process (MDP), which is extended to Robust MDPs (RMDPs) by allowing uncertainty in transition probabilities and optimizing against the worst-case transition probabilities…