• Corpus ID: 218571444

A Gradient-Aware Search Algorithm for Constrained Markov Decision Processes

@article{Khairy2020AGS,
  title={A Gradient-Aware Search Algorithm for Constrained Markov Decision Processes},
  author={Sami Khairy and Prasanna Balaprakash and Lin X. Cai},
  journal={ArXiv},
  year={2020},
  volume={abs/2005.03718}
}
The canonical solution methodology for finite constrained Markov decision processes (CMDPs), where the objective is to maximize the expected infinite-horizon discounted rewards subject to the expected infinite-horizon discounted costs constraints, is based on convex linear programming. In this brief, we first prove that the optimization objective in the dual linear program of a finite CMDP is a piece-wise linear convex function (PWLC) with respect to the Lagrange penalty multipliers. Next, we… 

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