Numerical Dynamic Programming for Discrete States

This paper is the first of two papers that present and evaluate an approach for determining suboptimal policies for large-scale Markov decision processes (MDP). Part 1 is devoted to the determination of bounds that motivate the development and indicate the quality of the suboptimal design approach; Part 2 is concerned with the implementation and evaluation of the suboptimal design approach. The specific MDP considered is the infinite-horizon, expected total discounted cost MDP with finite state and action spaces. The approach can be described as follows. First, the original MDP is approximated by a specially structured MDP. The special structure suggests how to construct associated smaller, more computationally tractable MDP's. The suboptimal policy for the original MDP is then constructed from the solutions of these smaller MDP's. The key feature of this approach is that the state and action space cardinalities of the smaller MDP's are exponential reductions of the state and action space cardinalities of the original MDP.

This paper extends finite state and action space Markov Decision Process (MDP) models by introducing a new type of measurement for the outcomes of actions. The new measurement allows to sequentially observe the next-state transition for taking an action, i.e., the actions are ordered and the next action outcome in the sequence is observed only if the current action is not chosen. The sequentially-observed MDP (SO-MDP) shares some properties with a standard MDP: among history dependent policies, Markovian ones are still optimal. SO-MDP policies have the advantage of producing better rewards than standard optimal MDP policies due to additional measurements. Computing these policies, on the other hand, is more complex and we present a linear programming based synthesis of the optimal decision policies for the finite horizon SO-MDPs. A simulation example of multiple autonomous agents is also provided to demonstrate the SO-MDP model and the proposed policy synthesis method.

This paper is concerned with a minimax control problem (also known as a robust Markov decision process (MDP) or a game against nature) with general state and action spaces under the discounted cost optimality criterion. We are interested in approximating numerically the value function and an optimal strategy of this general discounted minimax control problem. To this end, we derive structural Lipschitz continuity properties of the solution of this robust MDP by imposing suitable conditions on the model, including Lipschitz continuity of the elements of the model and absolute continuity of the Markov transition kernel with respect to some probability measure $$\mu $$ . Then, we are able to provide an approximating minimax control model with finite state and action spaces, and hence computationally tractable, by combining these structural properties with a suitable discretization procedure of the state space (related to a probabilistic criterion) and the action spaces (associated to a geometric criterion). Finally, it is shown that the corresponding approximation errors for the value function and the optimal strategy can be controlled in terms of the discretization parameters. These results are also extended to a two-player zero-sum Markov game.

This paper is concerned with the links between the Value Iteration algorithm and the Rolling Horizon procedure, for solving problems of stochastic optimal control under the long-run average criterion, in Markov Decision Processes with finite state and action spaces. We review conditions of the literature which imply the geometric convergence of Value Iteration to the optimal value. Aperiodicity is an essential prerequisite for convergence. We prove that the convergence of Value Iteration generally implies that of Rolling Horizon. We also present a modified Rolling Horizon procedure that can be applied to models without analyzing periodicity, and discuss the impact of this transformation on convergence. We illustrate with numerous examples the different results. Finally, we discuss rules for stopping Value Iteration or finding the length of a Rolling Horizon. We provide an example which demonstrates the difficulty of the question, disproving in particular a conjectured rule proposed by Puterman.

A forecast horizon and a stopping rule for general Markov decision processes

Unmanned aerial vehicles (UAVs) are expected to be a key component of the next-generation wireless systems. Due to their deployment flexibility, UAVs are being considered as an efficient solution for collecting information data from ground nodes and transmitting it wirelessly to the network. In this paper, a UAV-assisted wireless network is studied, in which energy-constrained ground nodes are deployed to observe different physical processes. In this network, a UAV that has a time constraint for its operation due to its limited battery, moves towards the ground nodes to receive status update packets about their observed processes. The flight trajectory of the UAV and scheduling of status update packets are jointly optimized with the objective of achieving the minimum weighted sum for the age- of-information (AoI) values of different processes at the UAV, referred to as weighted sum-AoI. The problem is modeled as a finite- horizon Markov decision process (MDP) with finite state and action spaces. Since the state space is extremely large, a deep reinforcement learning (RL) algorithm is proposed to obtain the optimal policy that minimizes the weighted sum-AoI, referred to as the age-optimal policy. Several simulation scenarios are considered to showcase the convergence of the proposed deep RL algorithm. Moreover, the results also demonstrate that the proposed deep RL approach can significantly improve the achievable sum- AoI per process compared to the baseline policies, such as the distance-based and random walk policies. The impact of various system design parameters on the optimal achievable sum-AoI per process is also shown through extensive simulations.

Time-average Markov decision processes with finite state and action spaces are considered. Several definitions of variability are introduced and compared. It is shown that a stationary policy maximizes one of these criteria, namely, the expected long-run average variability. An algorithm that produces such an optimal stationary policy is given.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>

Reinforcement Learning (RL) Markov Decision Processes is studied with an emphasis on the well-studied exploration problem. We first formulate and discuss a definition of “efficient” algorithms that is termed Probably Approximately Correct (PAC) in RL. Next we provide general sufficient conditions for such an algorithm that applies to several different modeling assumptions. The conditions can be used to demonstrate that efficient learning is possible in finite MDPs, with either a model-based or model-free approach, in factored MDPs, and in continuous MDPs with linear dynamics. In the reinforcement-learning (RL) problem (Sutton & Barto 1998), an agent acts in an unknown or incompletely known environment with the goal of maximizing an external reward signal. In the most standard mathematical formulation of the problem, the environment is modeled as a Markov Decision Process (MDP) and the goal of the agent is to obtain near-optimal discounted return. Over the years, many algorithms have been proposed for this problem, but analyses of their performances have been relatively scarce. In fact, until recently, most theoretical guarantees have been that certain algorithms will discover an optimal policy in the limit, after an infinite amount of experience. In contrast, several attempts have been made to study “Probably Approximately Correct” or PAC-MDP algorithms, which exhibit near-optimal behavior in polynomial time and experience. This paper discusses several extensions of those results. We present a theorem that provides sufficient conditions for an algorithm to be PAC-MDP. We examine these conditions and show how they can be applied to prove that efficient learning is possible in three interesting scenerios: finite MDPs (i.e. the “Tabular case”),

A shortest path approach to the multiple-vehicle routing problem with split pick-ups

In this paper, Weighted reward Perturbed Markov Decision Processes with finite state and countable action spaces (semi-infinite WMDP for short) are considered. The ”weighted reward” refers to appropriately normalized convex combination of the discounted and the long-run average reward criteria. This criterion allows the controller to trade-off short-term rewards versus long-run rewards. In every application where both the discounted and the long-run average criteria have been proposed in the past, there is clearly a rationale for considering the weighted criterion. Of course, as with all Markov decision models, the standard weighted criterion model assumes that all the transition probabilities are known precisely. Since, in most applications this would not be the case, we consider the perturbed version of the weighted reward model. In the case of perturbations, we prove that for many models a nearly optimal strategy can be found in the class of relatively “simple ultimately deterministic” strategies. These are strategies which behave just like deterministic stationary strategies, after a certain point of time.

Joint optimization of customer segmentation and marketing policy to maximize long-term profitability

We study constrained Markov decision processes with finite state and action spaces. The optimal solution of a discounted infinite-horizon optimal control problem is obtained using a Policy Gradient Primal-Dual (PG-PD) method without any policy parametrization. This method updates the primal variable via projected policy gradient ascent and the dual variable via projected sub-gradient descent. Despite the lack of concavity of the constrained maximization problem in policy space, we exploit the underlying structure to provide non-asymptotic global convergence guarantees with sublinear rates in terms of both the optimality gap and the constraint violation. Furthermore, for a sample-based PG-PD algorithm, we quantify sample complexity and offer computational experiments to demonstrate the effectiveness of our results.

Numerical analysis of continuous time Markov decision processes over finite horizons

Policy iteration and value iteration are at the core of many (approximate) dynamic programming methods. For Markov Decision Processes with finite state and action spaces, we show that they are instances of semismooth Newton-type methods for solving the Bellman equation. In particular, we prove that policy iteration is equivalent to the exact semismooth Newton method and enjoys a local quadratic convergence rate. This finding is corroborated by extensive numerical evidence in the fields of control and operations research, which confirms that policy iteration generally requires relatively few iterations to achieve convergence even in presence of a large number of admissible policies. We then show that value iteration is an instance of the fixed-point iteration method and develop a novel locally accelerated version of value iteration with global convergence guarantees and negligible extra computational costs.

With the rapid development of Internet of vehicles (IoV), the emerging in-vehicle applications meet people’s demand for intelligent experience, while also increasing the cost of network communication. Driven by the fact that a few popular content accounted for most of the traffic load, caching popular content at the wireless edge has become a trend of content delivery. However, the limitation of cache resources and the ever-changing mobile environment bring a severe challenge to content delivery cost optimization. In this paper, we first investigate the joint optimization of content placement and bandwidth allocation (JOCB) in IoV. In order to minimize the long-term system cost in the mobile scenario, we first establish an innovative vehicle mobility model based on the probability distribution. Then we use the Lagrangian multiplier method to solve the bandwidth allocation sub-problem to reduce the algorithm complexity. Considering the high-dimensional continuity of action and state spaces, the original problem is transformed into a Markov Decision Process (MDP), and we propose a Deep reinforcement learning based Dynamic Content Placement (DDCP) algorithm. DDCP algorithm has low algorithm complexity and can handle high-dimensional continuous state and action space. The simulation results show that compare with other three benchmark algorithms, DDCP algorithm can reduce the system cost effectively.