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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…

Computational Engineering, Finance, and Science · Computer Science 2021-07-21 Diego Pino , Javier García , Fernando Fernández , Svitlana S Vyetrenko

Active classification, i.e., the sequential decision-making process aimed at data acquisition for classification purposes, arises naturally in many applications, including medical diagnosis, intrusion detection, and object tracking. In this…

Systems and Control · Computer Science 2018-10-02 Bo Wu , Mohamadreza Ahmadi , Suda Bharadwaj , Ufuk Topcu

Constrained partially observable Markov decision processes (CPOMDPs) have been used to model various real-world phenomena. However, they are notoriously difficult to solve to optimality, and there exist only a few approximation methods for…

Artificial Intelligence · Computer Science 2023-06-27 Robert K. Helmeczi , Can Kavaklioglu , Mucahit Cevik

Markov Decision Processes (MDPs) are a classical model for decision making in the presence of uncertainty. Often they are viewed as state transformers with planning objectives defined with respect to paths over MDP states. An increasingly…

Artificial Intelligence · Computer Science 2024-05-08 S. Akshay , Krishnendu Chatterjee , Tobias Meggendorfer , Đorđe Žikelić

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…

Systems and Control · Electrical Eng. & Systems 2025-11-12 Saber Omidi , Marek Petrik , Se Young Yoon , Momotaz Begum

Several recent works have proposed instance-dependent upper bounds on the number of episodes needed to identify, with probability $1-\delta$, an $\varepsilon$-optimal policy in finite-horizon tabular Markov Decision Processes (MDPs). These…

Machine Learning · Statistics 2023-11-13 Aymen Al-Marjani , Andrea Tirinzoni , Emilie Kaufmann

We introduce the notion of quantum Markov decision process (qMDP) as a semantic model of nondeterministic and concurrent quantum programs. It is shown by examples that qMDPs can be used in analysis of quantum algorithms and protocols. We…

Quantum Physics · Physics 2014-07-10 Shenggang Ying , Mingsheng Ying

For discrete-time linear systems subject to parametric uncertainty described by random variables, we develop a sampling-based Stochastic Model Predictive Control algorithm. Unlike earlier results employing a scenario approximation, we…

Systems and Control · Computer Science 2016-06-21 Matthias Lorenzen , Fabrizio Dabbene , Roberto Tempo , Frank Allgöwer

In this paper, we show how a simulated Markov decision process (MDP) built by the so-called \emph{baseline} policies, can be used to compute a different policy, namely the \emph{simulated optimal} policy, for which the performance of this…

Optimization and Control · Mathematics 2014-10-13 Yinlam Chow , Mohammad Ghavamzadeh

Probabilistic hyperproperties describe probabilistic relations between multiple sets of executions in a stochastic system. Prominent examples include information-theoretic characterizations of security and privacy policies. However, model…

Logic in Computer Science · Computer Science 2026-04-09 Lina Gerlach , Tobias Winkler , Erika Ábrahám , Borzoo Bonakdarpour , Sebastian Junges

A labelled Markov decision process (MDP) is a labelled Markov chain with nondeterminism; i.e., together with a strategy a labelled MDP induces a labelled Markov chain. The model is related to interval Markov chains. Motivated by…

Formal Languages and Automata Theory · Computer Science 2024-07-01 Stefan Kiefer , Qiyi Tang

Markov decision processes (MDPs) are the standard formalism for modelling sequential decision making in stochastic environments. Policy synthesis addresses the problem of how to control or limit the decisions an agent makes so that a given…

Logic in Computer Science · Computer Science 2017-10-09 Peter Baumgartner , Sylvie Thiébaux , Felipe Trevizan

In contrast to the advances in characterizing the sample complexity for solving Markov decision processes (MDPs), the optimal statistical complexity for solving constrained MDPs (CMDPs) remains unknown. We resolve this question by providing…

Machine Learning · Computer Science 2022-11-22 Sharan Vaswani , Lin F. Yang , Csaba Szepesvári

We study the problem of synthesizing a policy that maximizes the entropy of a Markov decision process (MDP) subject to a temporal logic constraint. Such a policy minimizes the predictability of the paths it generates, or dually, maximizes…

Optimization and Control · Mathematics 2019-06-17 Yagiz Savas , Melkior Ornik , Murat Cubuktepe , Mustafa O. Karabag , Ufuk Topcu

We study model-based learning of finite-window policies in tabular partially observable Markov decision processes (POMDPs). A common approach to learning under partial observability is to approximate unbounded history dependencies using…

Machine Learning · Computer Science 2026-04-02 Philip Jordan , Maryam Kamgarpour

Mathematical models are essential for understanding and making predictions about systems arising in nature and engineering. Yet, mathematical models are a simplification of true phenomena, thus making predictions subject to uncertainty.…

Numerical Analysis · Mathematics 2023-03-03 Mark Hobbs , Hussein Rappel , Tim Dodwell

We consider partially observable Markov decision processes (POMDPs) with limit-average payoff, where a reward value in the interval [0,1] is associated to every transition, and the payoff of an infinite path is the long-run average of the…

Artificial Intelligence · Computer Science 2013-08-23 Krishnendu Chatterjee , Martin Chmelík

We consider the synthesis of control policies for probabilistic systems, modeled by Markov decision processes, operating in partially known environments with temporal logic specifications. The environment is modeled by a set of Markov…

Logic in Computer Science · Computer Science 2012-03-07 Tichakorn Wongpiromsarn , Emilio Frazzoli

We consider the problem of computing the satisfaction probability of a formula for stochastic models with parametric uncertainty. We show that this satisfaction probability is a smooth function of the model parameters. This enables us to…

Logic in Computer Science · Computer Science 2014-10-23 Luca Bortolussi , Dimitrios Milios , Guido Sanguinetti

In many practical settings control decisions must be made under partial/imperfect information about the evolution of a relevant state variable. Partially Observable Markov Decision Processes (POMDPs) is a relatively well-developed framework…

Machine Learning · Computer Science 2021-12-30 Yanling Chang , Alfredo Garcia , Zhide Wang , Lu Sun