Optimizing Quantiles in Preference-based Markov Decision Processes

12/01/2016

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by   Hugo Gilbert, et al.

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In the Markov decision process model, policies are usually evaluated by expected cumulative rewards. As this decision criterion is not always suitable, we propose in this paper an algorithm for computing a policy optimal for the quantile criterion. Both finite and infinite horizons are considered. Finally we experimentally evaluate our approach on random MDPs and on a data center control problem.