Related papers: Weighted mesh algorithms for general Markov decisi…
The paper deals with finite-state Markov decision processes (MDPs) with integer weights assigned to each state-action pair. New algorithms are presented to classify end components according to their limiting behavior with respect to the…
We study infinite-horizon robust Markov decision processes (MDPs) on continuous state spaces with structured rectangular ambiguity set. The proposed ambiguity set falls within the convex hull of unknown generating kernels. We utilize the…
This paper addresses the challenge of solving Constrained Markov Decision Processes (CMDPs) with $d > 1$ constraints when the transition dynamics are unknown, but samples can be drawn from a generative model. We propose a model-based…
Recent research in decision theoretic planning has focussed on making the solution of Markov decision processes (MDPs) more feasible. We develop a family of algorithms for structured reachability analysis of MDPs that are suitable when an…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (minimize…
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the inherent time inconsistency, we look for a randomized…
We propose and analyze a temporal concatenation heuristic for solving large-scale finite-horizon Markov decision processes (MDP), which divides the MDP into smaller sub-problems along the time horizon and generates an overall solution by…
In this paper, we consider an infinite horizon average reward Markov Decision Process (MDP). Distinguishing itself from existing works within this context, our approach harnesses the power of the general policy gradient-based algorithm,…
We present a general framework for applying learning algorithms and heuristical guidance to the verification of Markov decision processes (MDPs). The primary goal of our techniques is to improve performance by avoiding an exhaustive…
This note re-visits the rolling-horizon control approach to the problem of a Markov decision process (MDP) with infinite-horizon discounted expected reward criterion. Distinguished from the classical value-iteration approach, we develop an…
The solution convergence of Markov Decision Processes (MDPs) can be accelerated by prioritized sweeping of states ranked by their potential impacts to other states. In this paper, we present new heuristics to speed up the solution…
We present the first finite time global convergence analysis of policy gradient in the context of infinite horizon average reward Markov decision processes (MDPs). Specifically, we focus on ergodic tabular MDPs with finite state and action…
Solving general Markov decision processes (MDPs) is a computationally hard problem. Solving finite-horizon MDPs, on the other hand, is highly tractable with well known polynomial-time algorithms. What drives this extreme disparity, and do…
We study regret minimization for infinite-horizon average-reward Markov Decision Processes (MDPs) under cost constraints. We start by designing a policy optimization algorithm with carefully designed action-value estimator and bonus term,…
We consider the problem of approximating the reachability probabilities in Markov decision processes (MDP) with uncountable (continuous) state and action spaces. While there are algorithms that, for special classes of such MDP, provide a…
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…
In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM algorithm leads to semi-tractability of…
Robust Markov decision processes (MDPs) allow to compute reliable solutions for dynamic decision problems whose evolution is modeled by rewards and partially-known transition probabilities. Unfortunately, accounting for uncertainty in the…
We consider large-scale Markov decision processes (MDPs) with a risk measure of variability in cost, under the risk-aware MDPs paradigm. Previous studies showed that risk-aware MDPs, based on a minimax approach to handling risk, can be…
We propose policy gradient algorithms for robust infinite-horizon Markov decision processes (MDPs) with non-rectangular uncertainty sets, thereby addressing an open challenge in the robust MDP literature. Indeed, uncertainty sets that…