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Journal ArticleDOI

Percentile Optimization for Markov Decision Processes with Parameter Uncertainty

Erick Delage, +1 more
- 01 Jan 2010 - 
- Vol. 58, Iss: 1, pp 203-213
TLDR
A set of percentile criteria that are conceptually natural and representative of the trade-off between optimistic and pessimistic views of the question are presented and the use of these criteria under different forms of uncertainty for both the rewards and the transitions is studied.
Abstract
Markov decision processes are an effective tool in modeling decision making in uncertain dynamic environments. Because the parameters of these models typically are estimated from data or learned from experience, it is not surprising that the actual performance of a chosen strategy often differs significantly from the designer's initial expectations due to unavoidable modeling ambiguity. In this paper, we present a set of percentile criteria that are conceptually natural and representative of the trade-off between optimistic and pessimistic views of the question. We study the use of these criteria under different forms of uncertainty for both the rewards and the transitions. Some forms are shown to be efficiently solvable and others highly intractable. In each case, we outline solution concepts that take parametric uncertainty into account in the process of decision making.

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References
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