相关论文: Acceleration Operators in the Value Iteration Algo…

In many branches of engineering, Banach contraction mapping theorem is employed to establish the convergence of certain deterministic algorithms. Randomized versions of these algorithms have been developed that have proved useful in…

Model checking undiscounted reachability and expected-reward properties on Markov decision processes (MDPs) is key for the verification of systems that act under uncertainty. Popular algorithms are policy iteration and variants of value…

Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…

In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…

In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account \emph{risk}, i.e., increased awareness of events of small probability and high consequences. Accordingly, the…

Recently, Sidford, Wang, Wu and Ye (2018) developed an algorithm combining variance reduction techniques with value iteration to solve discounted Markov decision processes. This algorithm has a sublinear complexity when the discount factor…

Value decomposition has long been a fundamental technique in multi-agent dynamic programming and reinforcement learning (RL). Specifically, the value function of a global state $(s_1,s_2,\ldots,s_N)$ is often approximated as the sum of…

We study the problem of reinforcement learning in infinite-horizon discounted linear Markov decision processes (MDPs), and propose the first computationally efficient algorithm achieving rate-optimal regret guarantees in this setting. Our…

Several well-known algorithms in the field of combinatorial optimization can be interpreted in terms of the primal-dual method for solving linear programs. For example, Dijkstra's algorithm, the Ford-Fulkerson algorithm, and the Hungarian…

Recently, some studies have utilized the Markov Decision Process for diversifying (MDP-DIV) the search results in information retrieval. Though promising performances can be delivered, MDP-DIV suffers from a very slow convergence, which…

Recursive stochastic algorithms have gained significant attention in the recent past due to data driven applications. Examples include stochastic gradient descent for solving large-scale optimization problems and empirical dynamic…

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…

This paper studies an accelerated fitted value iteration (FVI) algorithm to solve high-dimensional Markov decision processes (MDPs). FVI is an approximate dynamic programming algorithm that has desirable theoretical properties. However, it…

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…

Maximum a posteriori (MAP) inference in discrete-valued Markov random fields is a fundamental problem in machine learning that involves identifying the most likely configuration of random variables given a distribution. Due to the…

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…

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 consider a class of optimization problems over stochastic variables where the algorithm can learn information about the value of any variable through a series of costly steps; we model this information acquisition process as a Markov…

We present a new geometric interpretation of Markov Decision Processes (MDPs) with a natural normalization procedure that allows us to adjust the value function at each state without altering the advantage of any action with respect to any…

This paper studies the risk-averse mean-variance optimization in infinite-horizon discounted Markov decision processes (MDPs). The involved variance metric concerns reward variability during the whole process, and future deviations are…