Multi-objective dynamic programming with limited precision

DOI10.1007/S10898-021-01096-XzbMATH Open1486.90177arXiv2009.08198OpenAlexW3209838302MaRDI QIDQ2114599FDOQ2114599

Yanyan Li

Publication date: 15 March 2022

Published in: Journal of Global Optimization (Search for Journal in Brave)

Abstract: This paper addresses the problem of approximating the set of all solutions for Multi-objective Markov Decision Processes. We show that in the vast majority of interesting cases, the number of solutions is exponential or even infinite. In order to overcome this difficulty we propose to approximate the set of all solutions by means of a limited precision approach based on White's multi-objective value-iteration dynamic programming algorithm. We prove that the number of calculated solutions is tractable and show experimentally that the solutions obtained are a good approximation of the true Pareto front.

Full work available at URL: https://arxiv.org/abs/2009.08198

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zbMATH Keywords

dynamic programmingMarkov decision processesmulti-objectivereinforcement learning

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

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Cited In (3)

• Efficient multiobjective optimization employing Gaussian processes, spectral sampling and a genetic algorithm
• Title not available (Why is that?)
• Multiple objective dynamic programming with forward filtering

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