Robust Solutions to Markov Decision Problems with Uncertain Transition Matrices

@inproceedings{NilimRobustST,
  title={Robust Solutions to Markov Decision Problems with Uncertain Transition Matrices},
  author={Arnab Nilim and Laurent El Ghaoui}
}
Optimal solutions to Markov decision problems may be very sensitive with respect to the state transition probabilities. In many practical problems, the estimation of these probabilities is far from accurate. Hence, estimation errors are limiting factors in applying Markov decision processes to real-world problems. We consider a robust control problem for a finite-state, finite-action Markov decision process, where uncertainty on the transition matrices is described in terms of possibly… CONTINUE READING
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