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

Keywords

Markov decision process, Mathematical optimization, Mathematics, Recursion (computer science), Robustness (evolution)

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