Solving Multi-Model MDPs by Coordinate Ascent and Dynamic Programming

Multi-model Markov decision process (MMDP) is a promising framework for computing policies that are robust to parameter uncertainty in MDPs. MMDPs aim to find a policy that maximizes the expected return over a distribution of MDP models. Because MMDPs are NP-hard to solve, most methods resort to app...

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Bibliographic Details
Published inarXiv.org
Main Authors Su, Xihong, Petrik, Marek
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 08.07.2024
Subjects
Algorithms
Dynamic programming
Markov processes
Parameter robustness
Parameter uncertainty
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Summary:Multi-model Markov decision process (MMDP) is a promising framework for computing policies that are robust to parameter uncertainty in MDPs. MMDPs aim to find a policy that maximizes the expected return over a distribution of MDP models. Because MMDPs are NP-hard to solve, most methods resort to approximations. In this paper, we derive the policy gradient of MMDPs and propose CADP, which combines a coordinate ascent method and a dynamic programming algorithm for solving MMDPs. The main innovation of CADP compared with earlier algorithms is to take the coordinate ascent perspective to adjust model weights iteratively to guarantee monotone policy improvements to a local maximum. A theoretical analysis of CADP proves that it never performs worse than previous dynamic programming algorithms like WSU. Our numerical results indicate that CADP substantially outperforms existing methods on several benchmark problems.
ISSN:2331-8422