Publication details

Reinforcement Learning of Risk-Constrained Policies in Markov Decision Processes

Investor logo


Year of publication 2020
Type Article in Proceedings
Conference The Thirty-Fourth AAAI Conference on Artificial Intelligence, AAAI 2020
MU Faculty or unit

Faculty of Informatics

Keywords reinforcement learning; Markov decision processes; Monte Carlo tree search; risk aversion
Description Markov decision processes (MDPs) are the defacto framework for sequential decision making in the presence of stochastic uncertainty. A classical optimization criterion for MDPs is to maximize the expected discounted-sum payoff, which ignores low probability catastrophic events with highly negative impact on the system. On the other hand, risk-averse policies require the probability of undesirable events to be below a given threshold, but they do not account for optimization of the expected payoff. We consider MDPs with discounted-sum payoff with failure states which represent catastrophic outcomes. The objective of risk-constrained planning is to maximize the expected discounted-sum payoff among risk-averse policies that ensure the probability to encounter a failure state is below a desired threshold. Our main contribution is an efficient risk-constrained planning algorithm that combines UCT-like search with a predictor learned through interaction with the MDP (in the style of AlphaZero) and with a risk-constrained action selection via linear programming. We demonstrate the effectiveness of our approach with experiments on classical MDPs from the literature, including benchmarks with an order of 10^6 states.
Related projects:

You are running an old browser version. We recommend updating your browser to its latest version.

More info