R package markovDP - Infrastructure for Discrete-Time Markov Decision Processes (MDP)

Introduction

A Markov decision process (MDP) (Bellman 1957; Howard 1960) is a discrete-time stochastic control process. In each time step, an agent can perform actions which affect the system (i.e., may cause the system state to change). The agent’s goal is to maximize its expected future rewards that depend on the sequence of system state and the agent’s actions in the future. Solving the MDP means finding the optimal (or at least a good) policy that guides the agent’s actions.

The markovDP package provides the infrastructure to work with MDPs in R. The focus is on convenience in formulating MDPs in multiple ways, the support of sparse representations (using sparse matrices, lists and data.frames) and visualization of results. Some key components are implemented in C++ to speed up computation. It also provides to the following popular solving procedures:

• Dynamic Programming
  • Value Iteration (Bellman 1957)
  • Modified Policy Iteration (Howard 1960; Puterman and Shin 1978)
  • Prioritized Sweeping (Moore and Atkeson 1993)
• Linear Programming
  • Primal Formulation (Manne 1960)
• Termporal Differencing
  • Q-Learning (Watkins and Dayan 1992)
  • Sarsa (Rummery and Niranjan 1994)
  • Expected Sarsa (Sutton and Barto 2018)

These implementations follow the description is (Russell and Norvig 2020) and (Sutton and Barto 2018).

To cite package ‘markovDP’ in publications use:

Hahsler M (????). markovDP: Infrastructure for Discrete-Time Markov Decision Processes (MDP). R package version 0.99.0, https://github.com/mhahsler/markovDP.

@Manual{,
  title = {markovDP: Infrastructure for Discrete-Time Markov Decision Processes (MDP)},
  author = {Michael Hahsler},
  note = {R package version 0.99.0},
  url = {https://github.com/mhahsler/markovDP},
}

Installation

Current development version: Install from r-universe.

install.packages("markovDP",
    repos = c("https://mhahsler.r-universe.dev". "https://cloud.r-project.org/"))

Usage

Solving the simple maze from (Russell and Norvig 2020).

library("markovDP")
data("Maze")
Maze

## MDP, list - Stuart Russell's 3x4 Maze
##   Discount factor: 1
##   Horizon: Inf epochs
##   Size: 11 states / 4 actions
##   Start: s(3,1)
## 
##   List components: 'name', 'discount', 'horizon', 'states', 'actions',
##     'transition_prob', 'reward', 'info', 'start'

gridworld_plot(Maze)

sol <- solve_MDP(model = Maze)
sol

## MDP, list - Stuart Russell's 3x4 Maze
##   Discount factor: 1
##   Horizon: Inf epochs
##   Size: 11 states / 4 actions
##   Start: s(3,1)
##   Solved:
##     Method: 'value_iteration'
##     Solution converged: TRUE
## 
##   List components: 'name', 'discount', 'horizon', 'states', 'actions',
##     'transition_prob', 'reward', 'info', 'start', 'solution'

Display the value function.

plot_value_function(sol)

gridworld_plot(sol)

Acknowledgments

Development of this package was supported in part by National Institute of Standards and Technology (NIST) under grant number 60NANB17D180.

References

Bellman, Richard. 1957. “A Markovian Decision Process.” Indiana University Mathematics Journal 6: 679–84. https://www.jstor.org/stable/24900506.

Howard, R. A. 1960. Dynamic Programming and Markov Processes. Cambridge, MA: MIT Press.

Manne, Alan. 1960. “On the Job-Shop Scheduling Problem.” Operations Research 8 (2): 219–23. https://doi.org/10.1287/opre.8.2.219.

Moore, Andrew, and C. G. Atkeson. 1993. “Prioritized Sweeping: Reinforcement Learning with Less Data and Less Real Time.” Machine Learning 13 (1): 103–30. https://doi.org/10.1007/BF00993104.

Puterman, Martin L., and Moon Chirl Shin. 1978. “Modified Policy Iteration Algorithms for Discounted Markov Decision Problems.” Management Science 24: 1127–37. https://doi.org/10.1287/mnsc.24.11.1127.

Rummery, G., and Mahesan Niranjan. 1994. “On-Line Q-Learning Using Connectionist Systems.” Techreport CUED/F-INFENG/TR 166. Cambridge University Engineering Department.

Russell, Stuart J., and Peter Norvig. 2020. Artificial Intelligence: A Modern Approach (4th Edition). Pearson. http://aima.cs.berkeley.edu/.

Sutton, Richard S., and Andrew G. Barto. 2018. Reinforcement Learning: An Introduction. Second. The MIT Press. http://incompleteideas.net/book/the-book-2nd.html.

Watkins, Christopher J. C. H., and Peter Dayan. 1992. “Q-Learning.” Machine Learning 8 (3): 279–92. https://doi.org/10.1007/BF00992698.