Robust markov decision processes with uncertain transition matrices
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Summary
This work considers a robust control problem for a finite-state, finite-action Markov decision process, where uncertainty on the transition matrices is described in terms of possibly non-convex sets and shows that perfect duality holds for this problem, and that as a consequence, it can be solved with a variant of the classical dynamic programming algorithm, the “robust dynamic programming” algorithm.
- Type
- article
- Published
- 2004-01-01
- Cited by
- 29
- References
- 22
- OpenAlex
- https://openalex.org/W43464992
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:140723
Keywords
Markov decision process, Mathematical optimization, Mathematics, Recursion (computer science), Robustness (evolution)
References
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- Robust Dynamic Programming
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- Convex Optimization
- Learning Under Ambiguity
- Mathematical Statistics
- Algorithms for singularly perturbed limiting average Markov control problems
- Markov decision processes with uncertain transition probabilities
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- Theory and Applications of Robust Optimization
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- Cognitive Radio Network for the Smart Grid: Experimental System Architecture, Control Algorithms, Security, and Microgrid Testbed
- Percentile optimization in uncertain Markov decision processes with application to efficient exploration
- Bayesian Robustness in the Control of Gene Regulatory Networks
- Reallocations in teams of UAVs using dynamic programming and mixed initiative interactions
- Cooperative control of teams of unmanned air vehicles
- Optimal Control of Software Ensuring Safety and Functionality
- GENERATION OF STATIONARY CONTROL POLICIES WITH BEST EXPECTED PERFORMANCE FOR A FAMILY OF MARKOV CHAINS
- Robust Intervention in Probabilistic Boolean Networks
- Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
- Dynamic Reallocation in Teams of Unmanned Air Vehicles
- Proceedings of the Twenty-Eighth AAAI Conference on Artificial Intelligence
- Privacy-Preserving Policy Synthesis in Markov Decision Processes
- A few lessons learned in reinforcement learning for quadcopter attitude control
- Reinforcement Learning with Formal Performance Metrics for Quadcopter Attitude Control under Non-nominal Contexts
- Deterministic Sequencing of Exploration and Exploitation for Reinforcement Learning
- The Trembling-Hand Problem for LTLf Planning
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