Percentile Optimization for Markov Decision Processes with Parameter Uncertainty

@article{Delage2010PercentileOF,
  title={Percentile Optimization for Markov Decision Processes with Parameter Uncertainty},
  author={Erick Delage and Shie Mannor},
  journal={Operations Research},
  year={2010},
  volume={58},
  pages={203-213}
}
Markov decision processes are an effective tool in modeling decision-making in uncertain dynamic environments. Since the parameters of these models are typically estimated from data or learned from experience, it is not surprising that the actual performance of a chosen strategy often significan tly differs from the designer’s initial expectations due to unavoidable modeling ambiguity. In this paper, we present a set of percentile criteria that are conceptually natural an d representative of… CONTINUE READING
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