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Temporal concatenation for Markov decision processes

Published online by Cambridge University Press:  13 July 2021

Ruiyang Song Open the ORCID record for Ruiyang Song [Opens in a new window]  and
Kuang Xu
Ruiyang Song
Affiliation:
Department of Electrical Engineering, Stanford University, Stanford, CA, USA. E-mail: [email protected]
Kuang Xu
Affiliation:
Graduate School of Business, Stanford University, Stanford, CA, USA. E-mail: [email protected]
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Abstract

We propose and analyze a temporal concatenation heuristic for solving large-scale finite-horizon Markov decision processes (MDP), which divides the MDP into smaller sub-problems along the time horizon and generates an overall solution by simply concatenating the optimal solutions from these sub-problems. As a “black box” architecture, temporal concatenation works with a wide range of existing MDP algorithms. Our main results characterize the regret of temporal concatenation compared to the optimal solution. We provide upper bounds for general MDP instances, as well as a family of MDP instances in which the upper bounds are shown to be tight. Together, our results demonstrate temporal concatenation's potential of substantial speed-up at the expense of some performance degradation.

Keywords

Markov decision processStochastic dynamic programming
Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 36 , Issue 4 , October 2022 , pp. 999 - 1026
Copyright
Copyright © The Author(s), 2021. Published by Cambridge University Press

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