Markov Decision Processes Chapter 17. Mausam

Transcription

1 Markov Decision Processes Chapter 17 Mausam

2 Planning Agent Static vs. Dynamic Fully vs. Partially Observable Environment What action next? Deterministic vs. Stochastic Perfect vs. Noisy Instantaneous vs. Durative Percepts Actions 2

3 Classical Planning Static Environment Fully Observable Perfect What action next? Deterministic Instantaneous Percepts Actions 3

4 Stochastic Planning: MDPs Static Environment Fully Observable Perfect What action next? Stochastic Instantaneous Percepts Actions 4

5 MDP vs. Decision Theory Decision theory episodic MDP -- sequential 5

6 Markov Decision Process (MDP) S: A set of states A: A set of actions T(s,a,s ): transition model C(s,a,s ): cost model G: set of goals : start state : discount factor R(s,a,s ): reward model factored Factored MDP absorbing/ non-absorbing 6

7 Objective of an MDP Find a policy : S A which optimizes minimizes maximizes maximizes discounted or undiscount. expected cost to reach a goal expected reward expected (reward-cost) given a horizon finite infinite indefinite assuming full observability 7

8 Role of Discount Factor ( ) Keep the total reward/total cost finite useful for infinite horizon problems Intuition (economics): Money today is worth more than money tomorrow. Total reward: r 1 + r r 3 + Total cost: c 1 + c c 3 + 8

9 Examples of MDPs Goal-directed, Indefinite Horizon, Cost Minimization MDP <S, A, T, C, G, > Most often studied in planning, graph theory communities Infinite Horizon, Discounted Reward Maximization MDP <S, A, T, R, > Most often studied in machine learning, economics, operations research communities most popular Oversubscription Planning: Non absorbing goals, Reward Max. MDP <S, A, T, G, R, > Relatively recent model 9

10 Acyclic vs. Cyclic MDPs a P b a P b Q R S T R S T c c c c c c c G C(a) = 5, C(b) = 10, C(c) =1 Expectimin works V(Q/R/S/T) = 1 V(P) = 6 action a G Expectimin doesn t work infinite loop V(R/S/T) = 1 Q(P,b) = 11 Q(P,a) =???? suppose I decide to take a in P Q(P,a) = * Q(P,a) 10 = 13.5

11 Policy Evaluation Given a policy ¼: compute V ¼ V ¼ : cost of reaching goal while following ¼ 12

12 Deterministic MDPs Policy Graph for ¼ ¼( ) = a 0 ; ¼(s 1 ) = a 1 C=5 C=1 s 1 s a g 0 a 1 V ¼ (s 1 ) = 1 V ¼ ( ) = 6 add costs on path to goal 13

13 Acyclic MDPs Policy Graph for ¼ V ¼ (s 1 ) = 1 V ¼ (s 2 ) = 4 Pr=0.6 C=5 s 1 a 0 a 1 Pr=0.4 C=2 s 2 C=1 C=4 V ¼ ( ) = 0.6(5+1) + 0.4(2+4) = 6 a 2 s g backward pass in reverse topological order 14

14 General MDPs can be cyclic! Pr=0.6 C=5 s 1 a 0 a 1 Pr=0.4 C=2 s 2 a 2 C=1 Pr=0.7 C=4 Pr=0.3 C=3 s g cannot do a simple single pass V ¼ (s 1 ) = 1 V ¼ (s 2 ) =?? (depends on V ¼ ( )) V ¼ ( ) =?? (depends on V ¼ (s 2 )) 15

15 General SSPs can be cyclic! Pr=0.6 C=5 s 1 a 0 a 1 Pr=0.4 C=2 s 2 V ¼ (g) = 0 V ¼ (s 1 ) = 1+V ¼ (s g ) = 1 V ¼ (s 2 ) = 0.7(4+V ¼ (s g )) + 0.3(3+V ¼ ( )) V ¼ ( ) = 0.6(5+V ¼ (s 1 )) + 0.4(2+V ¼ (s 2 )) a 2 C=1 Pr=0.7 C=4 Pr=0.3 C=3 s g a simple system of linear equations 16

16 Policy Evaluation (Approach 1) Solving the System of Linear Equations V ¼ (s) = 0 if s 2 G = X 2S T (s; ¼(s); ) [C(s; ¼(s); ) + V ¼ ( )] S variables. O( S 3 ) running time 17

17 Iterative Policy Evaluation V ¼ (s 2 ) Pr=0.6 C=5 Pr=0.4 C=2 s 1 s 2 a 2 C=1 a 0 a V ¼ ( ) Pr=0.7 C=4 Pr=0.3 C=3 s g 18

18 Policy Evaluation (Approach 2) V ¼ (s) = X 2S T (s; ¼(s); ) [C(s; ¼(s); ) + V ¼ ( )] iterative refinement V ¼ n (s) Ã X 2S T (s; ¼(s); ) C(s; ¼(s); ) + V ¼ n 1( ) 19

19 Iterative Policy Evaluation iteration n ²-consistency termination condition 20

20 Policy Evaluation Value Iteration (Bellman Equations for MDP 1 ) <S, A, T, C,G, > Define V*(s) {optimal cost} as the minimum expected cost to reach a goal from this state. V* should satisfy the following equation: V (s) = 0 if s 2 G X = min T (s; a; ) [C(s; a; ) + V ( )] a2a 2S Q*(s,a) V*(s) = min a Q*(s,a) 22

21 Bellman Equations for MDP 2 <S, A, T, R,, > Define V*(s) {optimal value} as the maximum expected discounted reward from this state. V* should satisfy the following equation: 23

22 Fixed Point Computation in VI V (s) = min a2a X 2S T (s; a; ) [C(s; a; ) + V ( )] iterative refinement V n (s) Ã min a2a X 2S T (s; a; ) [C(s; a; ) + V n 1 ( )] non-linear 24

23 Example a 20 a a 00 s 2 s 40 4 a 41 a 21 a 1 a C=2 3 a 01 s 1 s 3 C=5 Pr=0.6 Pr=0.4 s g 25

24 Bellman Backup s 4 s 3 a 41 a 3 C=2 a 40 C=5 Pr=0.6 Pr=0.4 s g min Q 1 (s 4,a 40 ) = Q 1 (s 4,a 41 ) = = 2.8 V 1 = 2.8 s 4 a greedy = a 41 C=5 C=2 a 40 a 41 s g V 0 = 0 s 3 V 0 = 2

25 Value Iteration [Bellman 57] No restriction on initial value function iteration n ²-consistency termination condition 27

26 Example (all actions cost 1 unless otherwise stated) a 20 a a 00 s 2 s 40 4 a 41 a 21 a 1 a C=2 3 a 01 s 1 s 3 C=5 Pr=0.6 Pr=0.4 s g n V n ( ) V n (s 1 ) V n (s 2 ) V n (s 3 ) V n (s 4 )

27 Comments Decision-theoretic Algorithm Dynamic Programming Fixed Point Computation Probabilistic version of Bellman-Ford Algorithm for shortest path computation MDP 1 : Stochastic Shortest Path Problem Time Complexity one iteration: O( S 2 A ) number of iterations: poly( S, A, 1/(1- )) Space Complexity: O( S ) 31

28 Monotonicity For all n>k V k p V * V n p V* (V n monotonic from below) V k p V * V n p V* (V n monotonic from above) 32

29 Changing the Search Space Value Iteration Search in value space Compute the resulting policy Policy Iteration Search in policy space Compute the resulting value 40

30 Policy iteration [Howard 60] assign an arbitrary assignment of 0 to each state. repeat costly: O(n 3 ) Policy Evaluation: compute V n+1 : the evaluation of n Policy Improvement: for all states s compute n+1 (s): argmax a2 Ap(s) Q n+1 (s,a) until n+1 = n Advantage searching in a finite (policy) space as opposed to uncountably infinite (value) space convergence faster. all other properties follow! Modified Policy Iteration approximate by value iteration using fixed policy 41

31 Modified Policy iteration assign an arbitrary assignment of 0 to each state. repeat Policy Evaluation: compute V n+1 the approx. evaluation of n Policy Improvement: for all states s compute n+1 (s): argmax a2 Ap(s) Q n+1 (s,a) until n+1 = n Advantage probably the most competitive synchronous dynamic programming algorithm. 42

32 Applications Stochastic Games Robotics: navigation, helicopter manuevers Finance: options, investments Communication Networks Medicine: Radiation planning for cancer Controlling workflows Optimize bidding decisions in auctions Traffic flow optimization Aircraft queueing for landing; airline meal provisioning Optimizing software on mobiles Forest firefighting 43

33 VI Asynchronous VI Is backing up all states in an iteration essential? No! States may be backed up as many times in any order If no state gets starved convergence properties still hold!! 44

34 Residual wrt Value Function V (Res V ) Residual at s with respect to V magnitude( V(s)) after one Bellman backup at s Res V (s) = V (s) min a2a X 2S T (s; a; )[C(s; a; ) + V ( )] Residual wrt respect to V max residual Res V = max s (Res V (s)) Res V <² (²-consistency) 45

35 (General) Asynchronous VI 46

36 Prioritization of Bellman Backups Are all backups equally important? Can we avoid some backups? Can we schedule the backups more appropriately? 47

37 Useless Backups? a 20 a a 00 s 2 s 40 4 a 41 a 21 a 1 a C=2 3 a 01 s 1 s 3 C=5 Pr=0.6 Pr=0.4 s g n V n ( ) V n (s 1 ) V n (s 2 ) V n (s 3 ) V n (s 4 )

38 Useless Backups? a 20 a a 00 s 2 s 40 4 a 41 a 21 a 1 a C=2 3 a 01 s 1 s 3 C=5 Pr=0.6 Pr=0.4 s g n V n ( ) V n (s 1 ) V n (s 2 ) V n (s 3 ) V n (s 4 )

39 Asynch VI Prioritized VI 50

40 Which state to prioritize? s' V=0 s' V=0 s' V= s 1 s'.. V=0.. s s'.. V=2.. s 3 s'.. V=5.. s' V=0 s' V=0 s' V=0 s 1 is zero priority s 2 is higher priority s 3 is low priority 51

41 Prioritized Sweeping priority P S (s) = max ½ ¾ priority P S (s); max ft (s; a; a2a s0 )Res V ( )g Convergence [Li&Littman 08] Prioritized Sweeping converges to optimal in the limit, if all initial priorities are non-zero. (does not need synchronous VI iterations) 52

42 Prioritized Sweeping a 20 a a 00 s 2 s 40 4 a 41 a 21 a 1 a C=2 3 a 01 s 1 s 3 C=5 Pr=0.6 Pr=0.4 s g V( ) V(s 1 ) V(s 2 ) V(s 3 ) V(s 4 ) Initial V Priority Update Priority Update

43 Limitations of VI/Extensions Scalability Memory linear in size of state space Time at least polynomial or more Polynomial is good, no? state spaces are usually huge. if n state vars then 2 n states! Curse of Dimensionality! 54

44 Heuristic Search Insight 1 knowledge of a start state to save on computation ~ (all sources shortest path single source shortest path) Insight 2 additional knowledge in the form of heuristic function ~ (dfs/bfs A*) 55

45 Model MDP with an additional start state denoted by MDP s0 What is the solution to an MDP s0 Policy (S!A)? are states that are not reachable from relevant? states that are never visited (even though reachable)? 56

46 Partial Policy Define Partial policy ¼: S! A, where S µ S Define Partial policy closed w.r.t. a state s. is a partial policy ¼ s defined for all states s reachable by ¼ s starting from s 57

47 Partial policy closed wrt s 9 s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g 58

48 Partial policy closed wrt s 9 s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g Is this policy closed wrt? ¼ s0 ( )= a 1 ¼ s0 (s 1 )= a 2 ¼ s0 (s 2 )= a 1 59

49 Partial policy closed wrt s 9 s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g Is this policy closed wrt? ¼ s0 ( )= a 1 ¼ s0 (s 1 )= a 2 ¼ s0 (s 2 )= a 1 60

50 Partial policy closed wrt s 9 s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g Is this policy closed wrt? ¼ s0 ( )= a 1 ¼ s0 (s 1 )= a 2 ¼ s0 (s 2 )= a 1 ¼ s0 (s 6 )= a 1 61

51 Policy Graph of ¼ s0 s 9 s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g ¼ s0 ( )= a 1 ¼ s0 (s 1 )= a 2 ¼ s0 (s 2 )= a 1 ¼ s0 (s 6 )= a 1 62

52 Greedy Policy Graph Define greedy policy: ¼ V = argmin a Q V (s,a) Define greedy partial policy rooted at Partial policy rooted at Greedy policy denoted by ¼ V s0 Define greedy policy graph Policy graph of ¼ V s0 : denoted by G V s0 63

53 Heuristic Function h(s): S!R estimates V*(s) gives an indication about goodness of a state usually used in initialization V 0 (s) = h(s) helps us avoid seemingly bad states Define admissible heuristic optimistic h(s) V*(s) 64

54 A General Scheme for Heuristic Search in MDPs Two (over)simplified intuitions Focus on states in greedy policy wrt V rooted at Focus on states with residual > ² Find & Revise: repeat find a state that satisfies the two properties above revise: perform a Bellman backup until no such state remains 65

55 A* LAO* regular graph soln:(shortest) path A* acyclic AND/OR graph soln:(expected shortest) acyclic graph AO* [Nilsson 71] cyclic AND/OR graph soln:(expected shortest) cyclic graph LAO* [Hansen&Zil. 98] All algorithms able to make effective use of reachability information!

56 LAO* Family add to the fringe and to greedy policy graph repeat FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value choose a subset of affected states REVISE: perform some Bellman backups on this subset recompute the greedy graph until greedy graph has no fringe & residuals in greedy graph small output the greedy graph as the final policy 68

57 LAO* add to the fringe and to greedy policy graph repeat FIND: expand best state s on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s REVISE: perform VI on this subset recompute the greedy graph until greedy graph has no fringe & residuals in greedy graph small output the greedy graph as the final policy 69

58 LAO* V( ) = h( ) s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g add in the fringe and in greedy graph 70

59 LAO* V( ) = h( ) s 1 s 2 s 3 s 4 s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) 71

60 LAO* V( ) s 1 s 2 s 3 s 4 h s 1 s 2 h h s 3 s 4 h s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset 72

61 LAO* V( ) s 1 s 2 s 3 s 4 h s 1 s 2 h h s 3 s 4 h s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 73

62 LAO* V( ) s 1 s 2 s 3 s 4 h s 1 s 2 h h s 3 s 4 h s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph s h 6 s 7 h 74

63 LAO* V( ) s 1 s 2 s 3 s 4 h s 1 s 2 h h s 3 s 4 h s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph s h 6 s 7 h 75

64 LAO* V s 1 s 2 s 3 s 4 h s 1 s 2 h V s 3 s 4 h s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph s h 6 s 7 h 76

65 LAO* V s 1 s 2 s 3 s 4 h s 1 s 2 h V s 3 s 4 h s 5 s 6 s 7 s 8 S g FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph s h 6 s 7 h 77

66 LAO* V s 1 s 2 s 3 s 4 h s 1 s 2 h V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s h 6 s 7 S g h FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 78

67 LAO* V s 1 s 2 s 3 s 4 h s 1 s 2 h V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s h 6 s 7 S g h FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 79

68 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 h V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s h 6 s 7 S g h FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 80

69 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 h V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s h 6 s 7 S g h FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 81

70 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 V V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s h 6 s 7 S g h FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 82

71 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 V V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s h 6 s 7 S g h FIND: expand some states on the fringe (in greedy graph) initialize all new states by their heuristic value subset = all states in expanded graph that can reach s perform VI on this subset recompute the greedy graph 83

72 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 V V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s V 6 s 7 S g h output the greedy graph as the final policy 84

73 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 V V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s V 6 s 7 S g h output the greedy graph as the final policy 85

74 LAO* V s 1 s 2 s 3 s 4 V s 1 s 2 V V s 3 s 4 h s 5 s 6 s 7 s 8 S g h s 5 0 s V 6 s h 7 s 8 S g s 4 was never expanded s 8 was never touched 86

75 Extensions Heuristic Search + Dynamic Programming AO*, LAO*, RTDP, Factored MDPs add planning graph style heuristics use goal regression to generalize better Hierarchical MDPs hierarchy of sub-tasks, actions to scale better Reinforcement Learning learning the probability and rewards acting while learning connections to psychology Partially Observable Markov Decision Processes noisy sensors; partially observable environment popular in robotics 91