Information theoretic learning methods for Markov decision processes with parametric uncertainty
Information theoretic learning methods for Markov decision processes with parametric uncertainty Peeyush Kumar Chair of the Supervisory Committee: Professor Archis Ghate Industrial Systems Engineering Markov decision processes (MDPs) model a class of stochastic sequential decision problems with applications in engineering, medicine, and business analytics. There is considerable interest in the literature in MDPs with imperfect information, where the search for well performing policies faces many challenges. There is no rigorous universally accepted optimality criterion. The search space explodes and the decision maker suffers from the curse of dimensionality. Finding good policies requires careful balancing of the trade off between exploration to acquire information and exploitation of this information to earn high rewards. This dissertation contributes to this area by building a rigorous framework rooted in information theory for solving MDPs with model uncertainty. In the first chapter, the value of a parameter that characterizes the transition probabilities is unknown to the decision maker. The decision maker updates its Bayesian belief about this parameter using state observations induced by policies it chooses. Information Directed Policy Sampling (IDPS) is proposed to manage the exploration exploitation trade off. At each time stage, the decision maker solves a convex problem to sample a policy from a distribution that minimizes a particular ratio. The numerator of this ratio equals the square of the expected regret of distributions over policy trajectories (exploitation) The denominator equals the expected mutual information between the resulting system state trajectory and the parameter's posterior (exploration) A generalization of Hoeffding's inequality is employed to bound regret. The bound grows at a square root rate with the planning horizon, and a square root log linear rate with the parameter set cardinality. It is insensitive to stateand action space cardinalities. The regret per stage converges to zero as the planning horizon increases. IDPS is thus asymptotically optimal. Numerical results on a stylized example, an auction design problem, and a response guided dosing problem demonstrate its benefits. Uncertainty in transition probabilities arises from two levels in the second chapter. The top level corresponds to the ambiguity about the system model. Bottom level uncertainty is rooted in the unknown parameter values for each possible model. Prior update formulas using a hierarchical Bayesian framework are derived and incorporated into two learning algorithms: Thompson Sampling and a hierarchical extension of IDPS. Analytical performance bounds for these algorithms are developed. Numerical results on the response guided dosing problem, which is amenable to hierarchical modeling, are presented. The third chapter extends the above to partially observable Markov decision processes (POMDPs) In POMDPs, the decision maker cannot observe the actual state of the system. Instead, it can take a measurement that provides probabilistic information about the true state. Such POMDPs are equivalent to Bayesian adaptive MDPs (BAMDPs) from the first two chapters. This connection is exploited to devise algorithms and provide analytical performance guarantees for POMDPs in three separate cases: a) uncertainty in the transition probabilities; b) uncertainty in the measurement outcome probabilities; and c) uncertainty in both. Numerical results on partially observed response guided dosing are included. The fourth chapter proposes a formal information theoretic framework inspired by stochastic thermodynamics. It utilizes the idea that information is physical. An explicit link between information entropy and stochastic dynamics of a system coupled to an environment is developed from fundamental principles. Unlike the heuristic method of defining information ratio, this provides an optimization program that is built from system dynamics, problem objective, and the feedback from observations. To the best of my knowledge, this is the first comprehensive work in MDPs with model uncertainty, which builds a problem formulation entirely grounded in system and informational dynamics without the use of ad hoc heuristics.