arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2001.02798cs.LGmath.OCstat.ML
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Self-guided Approximate Linear Programs

College of Business Administration, University of Illinois at Chicago(伊利诺伊大学芝加哥分校工商管理学院);Tippie College of Business, The University of Iowa(爱荷华大学蒂皮商学院)

Parshan Pakiman, Selvaprabu Nadarajah, Negar Soheili, Qihang Lin

英文摘要:

Approximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain policies and lower bounds on the optimal policy cost of discounted-cost Markov decision processes (MDPs). Formulating an ALP requires (i) basis functions, the linear combination of which defines the VFA, and (ii) a state-relevance distribution, which determines the relative importance of different states in the ALP objective for the purpose of minimizing VFA error. Both these choices are typically heuristic: basis function selection relies on domain knowledge while the state-relevance distribution is specified using the frequency of states visited by a heuristic policy. We propose a self-guided sequence of ALPs that embeds random basis functions obtained via inexpensive sampling and uses the known VFA from the previous iteration to guide VFA computation in the current iteration. Self-guided ALPs mitigate the need for domain knowledge during basis function selection as well as the impact of the initial choice of the state-relevance distribution, thus significantly reducing the ALP implementation burden. We establish high probability error bounds on the VFAs from this sequence and show that a worst-case measure of policy performance is improved. We find that these favorable implementation and theoretical properties translate to encouraging numerical results on perishable inventory control and options pricing applications, where self-guided ALP policies improve upon policies from problem-specific methods. More broadly, our research takes a meaningful step toward application-agnostic policies and bounds for MDPs.

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