Robust $\phi$-Divergence MDPs

Chin Pang Ho · Marek Petrik · Wolfram Wiesemann

Hall J #922

Keywords: [ phi-divergences ] [ Markov Decision Processes ] [ Robust Optimization ]

[ Abstract ]
[ Paper [ Poster [ OpenReview
Wed 30 Nov 2 p.m. PST — 4 p.m. PST

Abstract: In recent years, robust Markov decision processes (MDPs) have emerged as a prominent modeling framework for dynamic decision problems affected by uncertainty. In contrast to classical MDPs, which only account for stochasticity by modeling the dynamics through a stochastic process with a known transition kernel, robust MDPs additionally account for ambiguity by optimizing in view of the most adverse transition kernel from a prescribed ambiguity set. In this paper, we develop a novel solution framework for robust MDPs with $s$-rectangular ambiguity sets that decomposes the problem into a sequence of robust Bellman updates and simplex projections. Exploiting the rich structure present in the simplex projections corresponding to $\phi$-divergence ambiguity sets, we show that the associated $s$-rectangular robust MDPs can be solved substantially faster than with state-of-the-art commercial solvers as well as a recent first-order solution scheme, thus rendering them attractive alternatives to classical MDPs in practical applications.

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