Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques

2014 ◽  
Vol 43 (6) ◽  
pp. 649-669 ◽  
Author(s):  
Abhijit Gosavi
Keyword(s):  
Dynamic Programming ◽  
Reinforcement Learning ◽  
Markov Decision Processes ◽  
Decision Processes ◽  
Learning Techniques ◽  
Markov Decision

scholarly journals Model-Free Reinforcement Learning for Branching Markov Decision Processes

2021 ◽  
pp. 651-673
Author(s):  
Ernst Moritz Hahn ◽  
Mateo Perez ◽  
Sven Schewe ◽  
Fabio Somenzi ◽  
Ashutosh Trivedi ◽  
...  
Keyword(s):  
Optimal Control ◽  
Reinforcement Learning ◽  
Markov Decision Processes ◽  
Control Strategy ◽  
Natural Extension ◽  
Decision Processes ◽  
Optimal Control Strategy ◽  
Model Free ◽  
Learning Techniques ◽  
Markov Decision

AbstractWe study reinforcement learning for the optimal control of Branching Markov Decision Processes (BMDPs), a natural extension of (multitype) Branching Markov Chains (BMCs). The state of a (discrete-time) BMCs is a collection of entities of various types that, while spawning other entities, generate a payoff. In comparison with BMCs, where the evolution of a each entity of the same type follows the same probabilistic pattern, BMDPs allow an external controller to pick from a range of options. This permits us to study the best/worst behaviour of the system. We generalise model-free reinforcement learning techniques to compute an optimal control strategy of an unknown BMDP in the limit. We present results of an implementation that demonstrate the practicality of the approach.

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