Using mathematical programming to solve Factored Markov Decision Processes with Imprecise Probabilities

This paper investigates Factored Markov Decision Processes with Imprecise Probabilities (MDPIPs); that is, Factored Markov Decision Processes (MDPs) where transition probabilities are imprecisely specified. We derive efficient approximate solutions for Factored MDPIPs based on mathematical programming. To do this, we extend previous linear programming approaches for linear approximations in Factored MDPs, resulting in a multilinear formulation for robust “maximin” linear approximations in Factored MDPIPs. By exploiting the factored structure in MDPIPs we are able to demonstrate orders of magnitude reduction in solution time over standard exact non-factored approaches, in exchange for relatively low approximation errors, on a difficult class of benchmark problems with millions of states.

► We study Factored Markov Decision Processes with Imprecise Probabilities. ► We derive efficient approximate solutions based on mathematical programming. ► We propose a multilinear formulation for robust ”maximin” approximation. ► Orders of magnitude reduction in solution time over exact non-factored approaches.