Related papers: Global Algorithms for Mean-Variance Optimization i…
Efficient virtual machine (VM) management can dramatically reduce energy consumption in data centers. Existing VM management algorithms fall into two categories based on whether the VMs' resource demands are assumed to be static or dynamic.…
We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…
We present new algorithms for computing and approximating bisimulation metrics in Markov Decision Processes (MDPs). Bisimulation metrics are an elegant formalism that capture behavioral equivalence between states and provide strong…
In this paper, building on the formulation of quantum Markov decision processes (q-MDPs) presented in our previous work [{\sc N.~Saldi, S.~Sanjari, and S.~Y\"{u}ksel}, {\em Quantum Markov Decision Processes: General Theory, Approximations,…
We develop a generic policy gradient method with the global optimality guarantee for robust Markov Decision Processes (MDPs). While policy gradient methods are widely used for solving dynamic decision problems due to their scalable and…
This paper addresses objectives tailored to the risk-averse optimization of accumulated rewards in Markov decision processes (MDPs). The studied objectives require maximizing the expected value of the accumulated rewards minus a penalty…
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…
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.…
Addressing uncertainty is critical for autonomous systems to robustly adapt to the real world. We formulate the problem of model uncertainty as a continuous Bayes-Adaptive Markov Decision Process (BAMDP), where an agent maintains a…
Markov Decision Problems (MDPs) provide a foundational framework for modelling sequential decision-making across diverse domains, guided by optimality criteria such as discounted and average rewards. However, these criteria have inherent…
We consider infinite-horizon Markov Decision Processes where parameters, such as transition probabilities, are unknown and estimated from data. The popular distributionally robust approach to addressing the parameter uncertainty can…
We investigate the problem of best policy identification in discounted linear Markov Decision Processes in the fixed confidence setting under a generative model. We first derive an instance-specific lower bound on the expected number of…
The online Markov decision process (MDP) is a generalization of the classical Markov decision process that incorporates changing reward functions. In this paper, we propose practical online MDP algorithms with policy iteration and…
We study the offline data-driven sequential decision making problem in the framework of Markov decision process (MDP). In order to enhance the generalizability and adaptivity of the learned policy, we propose to evaluate each policy by a…
Although many real-world stochastic planning problems are more naturally formulated by hybrid models with both discrete and continuous variables, current state-of-the-art methods cannot adequately address these problems. We present the…
In this paper, we propose a novel policy iteration method, called dynamic policy programming (DPP), to estimate the optimal policy in the infinite-horizon Markov decision processes. We prove the finite-iteration and asymptotic l\infty-norm…
This paper studies the optimization of Markov decision processes (MDPs) from a risk-seeking perspective, where the risk is measured by conditional value-at-risk (CVaR). The objective is to find a policy that maximizes the long-run CVaR of…
We cast episodic Markov decision process (MDP) planning as Bayesian inference over policies. A policy is treated as the latent variable and is assigned an unnormalized probability of optimality that is monotone in its expected return,…
This paper presents two new approaches to decomposing and solving large Markov decision problems (MDPs), a partial decoupling method and a complete decoupling method. In these approaches, a large, stochastic decision problem is divided into…
Multi-objective optimization models that encode ordered sequential constraints provide a solution to model various challenging problems including encoding preferences, modeling a curriculum, and enforcing measures of safety. A recently…