The MDP package implements algorithms for Markov decision processes (MDP).

MDP can be installed through Julia package manager

julia> Pkg.clone("https://github.com/adityam/MDP.jl")

The MDP package currently implements the following algorithms

• Infinite horizon discounted setup

  • Value iteration

• Finite horizon setup

  • Standard dynamic program

Other algorithms related to MDPs will be implemented as time permits. Pull requests welcome.

There are two ways to specify the MDP model:

1. By specifying the controlled transition matrix and the cost and reward function.

2. By specifying the bellman update operator.

Perhaps the easiest way to understand these is by means of examples.

This example is taken from Puterman, "Markov Decision Processes", Wiley 2005 (Chapter 3.1)

Consider a Markov decision process where

• States S = {1, 2}

• Actions A = {1, 2}

• Rewards r(s,a) given by

  r(1,1) = 5      r(1,2) = 10
  r(2,1) = -1     r(2,2) = -Inf
  

  Note that r(2,2) = -Inf means that action 2 is infeasible at state 2.

• Transition probabilities P(s_next | s_current, action)

    P(1 | 1, 1) = 0.5       P(2 | 1, 1) = 0.5
    P(1 | 2, 1) = 0.0       P(2 | 2, 1) = 1.0
  
    P(1 | 1, 2) = 0.0       P(2 | 1, 2) = 1.0
    P(1 | 2, 2) = 0.5       P(2 | 2, 2) = 0.5
  

This model is specified as follows:

• Specify the rewards as a S x A matrix.

  r = [ 5  10
       -1  -Inf]

• Specify the transition matrix as a list { P( . | ., 1), P( . | ., 2) }.

  P = Matrix[ [ 0.5  0.5 
                0.0  1.0 ],
              [ 0.0  1.0
                0.5  0.5 ] ]

  This list may also be specified as a sparse matrix (this can lead to considerable speedup when the transition matrices are sparse)

  using SparseArrays
  P = SparseMatrixCSC[sparse([0.5 0.5; 0.0 1.0]),
                      sparse([0.0 1.0; 0.5 0.5]) ]
  

• Specify an MDP model

  model = ProbModel(r, P; objective=:Max)

  objective=:Max specifies that we want to maximize reward. To minimize a cost function, use objective=:Min.

To solve this model using value iteration use

(v,g) = valueIteration(model; discount=0.95)

v is the value function (stored as a S dimensional vector) nad g is the policy (again, stored as a S dimensional vector).

The optimal arguments for valueIteration are

• discount (default 0.95): The discount factor.

• iterations (default 1_000): The maximum number of iteration to be perfermoed.

• tolerance (default 1e-4): Stop the iteration when sup-norm of v - v_opt is less than tolerance, where v_opt is the optimal solution.

  To speed up convergence, we use span seminorm and do a correction before
  returning the value function. See Puterman Sec 6.6 for details. 
  

• intial_v (default, an all zeros-vector).

Here is the full example:

using MDP

P = Matrix[ [ 0.5  0.5 
              0.0  1.0 ],
            [ 0.0  1.0
              0.5  0.5 ] ]

r = [ 5  10
     -1  -Inf ]

model = ProbModel(r, P; objective=:Max)

(v,g) = valueIteration(model; discount=0.95)

println(g)
println(v)

which outputs

[ Info: value iteration will converge in at most 20 iterations
[ Info: Reached precision 5.742009e-05 at iteration 18
[1, 1]
[-8.5714, -20.0]