ترغب بنشر مسار تعليمي؟ اضغط هنا

Strong Polynomiality of the Value Iteration Algorithm for Computing Nearly Optimal Policies for Discounted Dynamic Programming

95   0   0.0 ( 0 )
 نشر من قبل Eugene Feinberg
 تاريخ النشر 2020
  مجال البحث
والبحث باللغة English




اسأل ChatGPT حول البحث

This note provides upper bounds on the number of operations required to compute by value iterations a nearly optimal policy for an infinite-horizon discounted Markov decision process with a finite number of states and actions. For a given discount factor, magnitude of the reward function, and desired closeness to optimality, these upper bounds are strongly polynomial in the number of state-action pairs, and one of the provided upper bounds has the property that it is a non-decreasing function of the value of the discount factor.



قيم البحث

اقرأ أيضاً

We study the reinforcement learning problem for discounted Markov Decision Processes (MDPs) under the tabular setting. We propose a model-based algorithm named UCBVI-$gamma$, which is based on the emph{optimism in the face of uncertainty principle} a nd the Bernstein-type bonus. We show that UCBVI-$gamma$ achieves an $tilde{O}big({sqrt{SAT}}/{(1-gamma)^{1.5}}big)$ regret, where $S$ is the number of states, $A$ is the number of actions, $gamma$ is the discount factor and $T$ is the number of steps. In addition, we construct a class of hard MDPs and show that for any algorithm, the expected regret is at least $tilde{Omega}big({sqrt{SAT}}/{(1-gamma)^{1.5}}big)$. Our upper bound matches the minimax lower bound up to logarithmic factors, which suggests that UCBVI-$gamma$ is nearly minimax optimal for discounted MDPs.
146 - Xinjia Chen , Kemin Zhou 2008
In this paper, we have developed a parallel branch and bound algorithm which computes the maximal structured singular value $mu$ without tightly bounding $mu$ for each frequency and thus significantly reduce the computational complexity.
This paper studies an accelerated fitted value iteration (FVI) algorithm to solve high-dimensional Markov decision processes (MDPs). FVI is an approximate dynamic programming algorithm that has desirable theoretical properties. However, it can be int ractable when the action space is finite but vector-valued. To solve such MDPs via FVI, we first approximate the value functions by a two-layer neural network (NN) with rectified linear units (ReLU) being activation functions. We then verify that such approximators are strong enough for the MDP. To speed up the FVI, we recast the action selection problem as a two-stage stochastic programming problem, where the resulting recourse function comes from the two-layer NN. Then, the action selection problem is solved with a specialized multi-cut decomposition algorithm. More specifically, we design valid cuts by exploiting the structure of the approximated value functions to update the actions. We prove that the decomposition can find the global optimal solution in a finite number of iterations and the overall accelerated FVI is consistent. Finally, we verify the performance of the FVI algorithm via a multi-facility capacity investment problem (MCIP). A comprehensive numerical study is implemented, where the results show that the FVI is significantly accelerated without sacrificing too much in precision.
129 - Shanjian Tang 2014
We are concerned with the linear-quadratic optimal stochastic control problem with random coefficients. Under suitable conditions, we prove that the value field $V(t,x,omega), (t,x,omega)in [0,T]times R^ntimes Omega$, is quadratic in $x$, and has the following form: $V(t,x)=langle K_tx, xrangle$ where $K$ is an essentially bounded nonnegative symmetric matrix-valued adapted processes. Using the dynamic programming principle (DPP), we prove that $K$ is a continuous semi-martingale of the form $$K_t=K_0+int_0^t , dk_s+sum_{i=1}^dint_0^tL_s^i, dW_s^i, quad tin [0,T]$$ with $k$ being a continuous process of bounded variation and $$Eleft[left(int_0^T|L_s|^2, dsright)^pright] <infty, quad forall pge 2; $$ and that $(K, L)$ with $L:=(L^1, cdots, L^d)$ is a solution to the associated backward stochastic Riccati equation (BSRE), whose generator is highly nonlinear in the unknown pair of processes. The uniqueness is also proved via a localized completion of squares in a self-contained manner for a general BSRE. The existence and uniqueness of adapted solution to a general BSRE was initially proposed by the French mathematician J. M. Bismut (1976, 1978). It had been solved by the author (2003) via the stochastic maximum principle with a viewpoint of stochastic flow for the associated stochastic Hamiltonian system. The present paper is its companion, and gives the {it second but more comprehensive} adapted solution to a general BSRE via the DDP. Further extensions to the jump-diffusion control system and to the general nonlinear control system are possible.
This paper discusses the odds problem, proposed by Bruss in 2000, and its variants. A recurrence relation called a dynamic programming (DP) equation is used to find an optimal stopping policy of the odds problem and its variants. In 2013, Buchbinder, Jain, and Singh proposed a linear programming (LP) formulation for finding an optimal stopping policy of the classical secretary problem, which is a special case of the odds problem. The proposed linear programming problem, which maximizes the probability of a win, differs from the DP equations known for long time periods. This paper shows that an ordinary DP equation is a modification of the dual problem of linear programming including the LP formulation proposed by Buchbinder, Jain, and Singh.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا