Related papers: A note on the policy iteration algorithm for disco…
Bounded policy iteration is an approach to solving infinite-horizon POMDPs that represents policies as stochastic finite-state controllers and iteratively improves a controller by adjusting the parameters of each node using linear…
In this paper, we consider the discounted continuous-time Markov decision process (CTMDP) with a lower bounding function. In this model, the negative part of each cost rate is bounded by the drift function, say $w$, whereas the positive…
We consider an energy storage problem involving a wind farm with a forecasted power output, a stochastic load, an energy storage device, and a connection to the larger power grid with stochastic prices. Electricity prices and wind power…
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 study the problem of solving fixed-point equations for seminorm-contractive operators and establish foundational results on the non-asymptotic behavior of iterative algorithms in both deterministic and stochastic settings. Specifically,…
We study the problem of model-free reinforcement learning, which is often solved following the principle of Generalized Policy Iteration (GPI). While GPI is typically an interplay between policy evaluation and policy improvement, most…
Interpretable reinforcement learning policies are essential for high-stakes decision-making, yet optimizing decision tree policies in Markov Decision Processes (MDPs) remains challenging. We propose SPOT, a novel method for computing…
Partially Observable Markov Decision Processes (POMDPs) are powerful models for sequential decision making under transition and observation uncertainties. This paper studies the challenging yet important problem in POMDPs known as the…
The policy improvement bound on the difference of the discounted returns plays a crucial role in the theoretical justification of the trust-region policy optimization (TRPO) algorithm. The existing bound leads to a degenerate bound when the…
Most exact algorithms for general partially observable Markov decision processes (POMDPs) use a form of dynamic programming in which a piecewise-linear and convex representation of one value function is transformed into another. We examine…
Recently, a novel class of Approximate Policy Iteration (API) algorithms have demonstrated impressive practical performance (e.g., ExIt from [2], AlphaGo-Zero from [27]). This new family of algorithms maintains, and alternately optimizes,…
This paper describes the structure of optimal policies for infinite-state Markov Decision Processes with setwise continuous transition probabilities. The action sets may be noncompact. The objective criteria are either the expected total…
We present a major improvement to the incremental pruning algorithm for solving partially observable Markov decision processes. Our technique targets the cross-sum step of the dynamic programming (DP) update, a key source of complexity in…
Calculating optimal policies is known to be computationally difficult for Markov decision processes (MDPs) with Borel state and action spaces. This paper studies finite-state approximations of discrete time Markov decision processes with…
We solve a sequential decision-making problem under uncertainty that takes into account the failure probability of a task. This problem cannot be handled by the stochastic shortest path problem, which is the standard model for sequential…
We study the $(\varepsilon, \delta)$-PAC policy identification problem in finite-horizon episodic Markov Decision Processes. Existing approaches provide finite-time guarantees for approximate settings ($\varepsilon>0$) but suffer from high…
We propose a principled kernel-based policy iteration algorithm to solve the continuous-state Markov Decision Processes (MDPs). In contrast to most decision-theoretic planning frameworks, which assume fully known state transition models, we…
Bayesian approaches developed to solve the optimal design of sequential experiments are mathematically elegant but computationally challenging. Recently, techniques using amortization have been proposed to make these Bayesian approaches…
Policy iteration and value iteration are at the core of many (approximate) dynamic programming methods. For Markov Decision Processes with finite state and action spaces, we show that they are instances of semismooth Newton-type methods to…
This paper discusses algorithms for solving Markov decision processes (MDPs) that have monotone optimal policies. We propose a two-stage alternating convex optimization scheme that can accelerate the search for an optimal policy by…