Fast Bellman Updates for Robust MDPs

ICML 2018 • Chin Pang Ho • Marek Petrik • Wolfram Wiesemann

We describe two efficient, and exact, algorithms for computing Bellman updates in robust Markov decision processes (MDPs). The first algorithm uses a homotopy continuation method to compute updates for L1-constrained s,a-rectangular ambiguity sets... (read more)

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