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Electrical Engineering and Systems Science > Systems and Control

arXiv:2210.04098 (eess)
[Submitted on 8 Oct 2022]

Title:Controlling a Markov Decision Process with an Abrupt Change in the Transition Kernel

Authors:Nathan Dahlin, Subhonmesh Bose, Venugopal V. Veeravalli
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Abstract:We consider the control of a Markov decision process (MDP) that undergoes an abrupt change in its transition kernel (mode). We formulate the problem of minimizing regret under control-switching based on mode change detection, compared to a mode-observing controller, as an optimal stopping problem. Using a sequence of approximations, we reduce it to a quickest change detection (QCD) problem with Markovian data, for which we characterize a state-dependent threshold-type optimal change detection policy. Numerical experiments illustrate various properties of our control-switching policy.
Subjects: Systems and Control (eess.SY); Optimization and Control (math.OC)
Cite as: arXiv:2210.04098 [eess.SY]
  (or arXiv:2210.04098v1 [eess.SY] for this version)
  https://doi.org/10.48550/arXiv.2210.04098

Submission history

From: Nathan Dahlin [view email]
[v1] Sat, 8 Oct 2022 20:02:34 UTC (191 KB)
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