Solving Ergodic Markov Decision Processes and Perfect Information Zero-sum Stochastic Games by Variance Reduced Deflated Value Iteration

arXiv1909.06185MaRDI QIDQ6325238FDOQ6325238

Authors: Marianne Akian, Stéphane Gaubert, Zheng Qu, Omar Saadi 

Publication date: 13 September 2019

Abstract: Recently, Sidford, Wang, Wu and Ye (2018) developed an algorithm combining variance reduction techniques with value iteration to solve discounted Markov decision processes. This algorithm has a sublinear complexity when the discount factor is fixed. Here, we extend this approach to mean-payoff problems, including both Markov decision processes and perfect information zero-sum stochastic games. We obtain sublinear complexity bounds, assuming there is a distinguished state which is accessible from all initial states and for all policies. Our method is based on a reduction from the mean payoff problem to the discounted problem by a Doob h-transform, combined with a deflation technique. The complexity analysis of this algorithm uses at the same time the techniques developed by Sidford et al. in the discounted case and non-linear spectral theory techniques (Collatz-Wielandt characterization of the eigenvalue).

This page was built for publication: Solving Ergodic Markov Decision Processes and Perfect Information Zero-sum Stochastic Games by Variance Reduced Deflated Value Iteration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6325238)