Optimizing Quantiles in Preference-based Markov Decision Processes

Hugo Gilbert; Paul Weng; Yan Xu

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arXiv · 1612.00094

Optimizing Quantiles in Preference-based Markov Decision Processes

Hugo Gilbert·Paul Weng·Yan Xu

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Abstract

In the Markov decision process model, policies are usually evaluated by expected cumulative rewards. As this decision criterion is not always suitable, we propose in this paper an algorithm for computing a policy optimal for the quantile criterion. Both finite and infinite horizons are considered. Finally we experimentally evaluate our approach on random MDPs and on a data center control problem.

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Hugo Gilbert, Paul Weng, Yan Xu. 2016-12-01. Optimizing Quantiles in Preference-based Markov Decision Processes. https://arxiv.org/abs/1612.00094

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