A sparse sampling algorithm for near-optimal planning in large Markov decision processes

Michael Kearns, Yishay Mansour, Andrew Y. Ng

Research output: Contribution to journalArticlepeer-review

Abstract

A critical issue for the application of Markov decision processes (MDPs) to realistic problems is how the complexity of planning scales with the size of the MDP. In stochastic environments with very large or infinite state spaces, traditional planning and reinforcement learning algorithms may be inapplicable, since their running time typically grows linearly with the state space size in the worst case. In this paper we present a new algorithm that, given only a generative model (a natural and common type of simulator) for an arbitrary MDP, performs on-line, near-optimal planning with a per-state running time that has no dependence on the number of states. The running time is exponential in the horizon time (which depends only on the discount factor γ and the desired degree of approximation to the optimal policy). Our algorithm thus provides a different complexity trade-off than classical algorithms such as value iteration-rather than scaling linearly in both horizon time and state space size, our running time trades an exponential dependence on the former in exchange for no dependence on the latter. Our algorithm is based on the idea of sparse sampling. We prove that a randomly sampled look-ahead tree that covers only a vanishing fraction of the full look-ahead tree nevertheless suffices to compute near-optimal actions from any state of an MDP. Practical implementations of the algorithm are discussed, and we draw ties to our related recent results on finding a near-best strategy from a given class of strategies in very large partially observable MDPs (Kearns, Mansour, & Ng. Neural information processing systems 13, to appear).

Original languageEnglish
Pages (from-to)193-208
Number of pages16
JournalMachine Learning
Volume49
Issue number2-3
DOIs
StatePublished - Nov 2002

Keywords

  • Markov decision processes
  • Planning
  • Reinforcement learning

Fingerprint

Dive into the research topics of 'A sparse sampling algorithm for near-optimal planning in large Markov decision processes'. Together they form a unique fingerprint.

Cite this