1. Q-learning for Quantile MDPs: A Decomposition, Performance, and Convergence Analysis
- Author
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Hau, Jia Lin, Delage, Erick, Derman, Esther, Ghavamzadeh, Mohammad, and Petrik, Marek
- Subjects
Computer Science - Machine Learning - Abstract
In Markov decision processes (MDPs), quantile risk measures such as Value-at-Risk are a standard metric for modeling RL agents' preferences for certain outcomes. This paper proposes a new Q-learning algorithm for quantile optimization in MDPs with strong convergence and performance guarantees. The algorithm leverages a new, simple dynamic program (DP) decomposition for quantile MDPs. Compared with prior work, our DP decomposition requires neither known transition probabilities nor solving complex saddle point equations and serves as a suitable foundation for other model-free RL algorithms. Our numerical results in tabular domains show that our Q-learning algorithm converges to its DP variant and outperforms earlier algorithms.
- Published
- 2024