Revisiting Risk-Sensitive MDPs: New Algorithms and Results

• Main Authors: HOU, Ping, YEOH, William, VARAKANTHAM, Pradeep Reddy
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Artificial Intelligence and Robotics; Operations Research, Systems Engineering and Industrial Engineering
• Online Access: https://ink.library.smu.edu.sg/sis_research/2089; https://ink.library.smu.edu.sg/context/sis_research/article/3088/viewcontent/icaps12_rsmdp.pdf
• Institution: Singapore Management University

While Markov Decision Processes (MDPs) have been shown to be effective models for planning under uncertainty, theobjective to minimize the expected cumulative cost is inappropriate for high-stake planning problems. As such, Yu, Lin, and Yan (1998) introduced the Risk-Sensitive MDP (RSMDP) model, where the objective is to find a policy that maximizes the probability that the cumulative cost is within some user-defined cost threshold. In this paper, we revisit this problem and introduce new algorithms that are based on classical techniques, such as depth-first search and dynamic programming, and a recently introduced technique called Topological Value Iteration (TVI). We demonstrate the applicability of our approach on randomly generated MDPs as well as domains from the ICAPS 2011 International Probabilistic Planning Competition (IPPC).