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Home / Proceedings / Proceedings of the AAAI Conference on Artificial Intelligence, 35 / No. 13: AAAI-21 Technical Tracks 13

Constrained Risk-Averse Markov Decision Processes

February 1, 2023

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Authors

Mohamadreza Ahmadi

California Institute of Technology, 1200 E. California Blvd., Pasadena, CA 91125


Ugo Rosolia

California Institute of Technology, 1200 E. California Blvd., Pasadena, CA 91125


Michel D. Ingham

NASA Jet Propulsion Laboratory, 4800 Oak Grove Dr, Pasadena, CA 91109


Richard M. Murray

California Institute of Technology, 1200 E. California Blvd., Pasadena, CA 91125


Aaron D. Ames

California Institute of Technology, 1200 E. California Blvd., Pasadena, CA 91125


DOI:

10.1609/aaai.v35i13.17393


Abstract:

We consider the problem of designing policies for Markov decision processes (MDPs) with dynamic coherent risk objectives and constraints. We begin by formulating the problem in a Lagrangian framework. Under the assumption that the risk objectives and constraints can be represented by a Markov risk transition mapping, we propose an optimization-based method to synthesize Markovian policies that lower-bound the constrained risk-averse problem. We demonstrate that the formulated optimization problems are in the form of difference convex programs (DCPs) and can be solved by the disciplined convex-concave programming (DCCP) framework. We show that these results generalize linear programs for constrained MDPs with total discounted expected costs and constraints. Finally, we illustrate the effectiveness of the proposed method with numerical experiments on a rover navigation problem involving conditional-value-at-risk (CVaR) and entropic-value-at-risk (EVaR) coherent risk measures.

Topics: AAAI

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HOW TO CITE:

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames Constrained Risk-Averse Markov Decision Processes Proceedings of the AAAI Conference on Artificial Intelligence (2021) 11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames Constrained Risk-Averse Markov Decision Processes AAAI 2021, 11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames (2021). Constrained Risk-Averse Markov Decision Processes. Proceedings of the AAAI Conference on Artificial Intelligence, 11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames. Constrained Risk-Averse Markov Decision Processes. Proceedings of the AAAI Conference on Artificial Intelligence 2021 p.11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames. 2021. Constrained Risk-Averse Markov Decision Processes. "Proceedings of the AAAI Conference on Artificial Intelligence". 11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames. (2021) "Constrained Risk-Averse Markov Decision Processes", Proceedings of the AAAI Conference on Artificial Intelligence, p.11718-11725

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames, "Constrained Risk-Averse Markov Decision Processes", AAAI, p.11718-11725, 2021.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames. "Constrained Risk-Averse Markov Decision Processes". Proceedings of the AAAI Conference on Artificial Intelligence, 2021, p.11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames. "Constrained Risk-Averse Markov Decision Processes". Proceedings of the AAAI Conference on Artificial Intelligence, (2021): 11718-11725.

Mohamadreza Ahmadi||Ugo Rosolia||Michel D. Ingham||Richard M. Murray||Aaron D. Ames. Constrained Risk-Averse Markov Decision Processes. AAAI[Internet]. 2021[cited 2023]; 11718-11725.


ISSN: 2374-3468


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