Optimizing Quantiles in Preference-based Markov Decision Processes

Abstract

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.

Long version of AAAI 2017 paper. arXiv admin note: text overlap with arXiv:1611.00862