Tractable Pathfinding for the Stochastic On-Time Arrival Problem

We present a new and more efficient technique for computing the route that maximizes the probability of on-time arrival in stochastic networks, also known as the path-based stochastic on-time arrival (SOTA) problem. Our primary contribution is a pathfinding algorithm that uses the solution to the policy-based SOTA problem---which is of pseudo-polynomial-time complexity in the time budget of the journey---as a search heuristic for the optimal path. In particular, we show that this heuristic can be exceptionally efficient in practice, effectively making it possible to solve the path-based SOTA problem as quickly as the policy-based SOTA problem. Our secondary contribution is the extension of policy-based preprocessing to path-based preprocessing for the SOTA problem. In the process, we also introduce Arc-Potentials, a more efficient generalization of Stochastic Arc-Flags that can be used for both policy- and path-based SOTA. After developing the pathfinding and preprocessing algorithms, we evaluate their performance on two different real-world networks. To the best of our knowledge, these techniques provide the most efficient computation strategy for the path-based SOTA problem for general probability distributions, both with and without preprocessing.Comment: Submission accepted by the International Symposium on Experimental Algorithms 2016 and published by Springer in the Lecture Notes in Computer Science series on June 1, 2016. Includes typographical corrections and modifications to pre-processing made after the initial submission to SODA'15 (July 7, 2014

A Survey on Delay-Aware Resource Control for Wireless Systems --- Large Deviation Theory, Stochastic Lyapunov Drift and Distributed Stochastic Learning

In this tutorial paper, a comprehensive survey is given on several major systematic approaches in dealing with delay-aware control problems, namely the equivalent rate constraint approach, the Lyapunov stability drift approach and the approximate Markov Decision Process (MDP) approach using stochastic learning. These approaches essentially embrace most of the existing literature regarding delay-aware resource control in wireless systems. They have their relative pros and cons in terms of performance, complexity and implementation issues. For each of the approaches, the problem setup, the general solution and the design methodology are discussed. Applications of these approaches to delay-aware resource allocation are illustrated with examples in single-hop wireless networks. Furthermore, recent results regarding delay-aware multi-hop routing designs in general multi-hop networks are elaborated. Finally, the delay performance of the various approaches are compared through simulations using an example of the uplink OFDMA systems.Comment: 58 pages, 8 figures; IEEE Transactions on Information Theory, 201

Risk-Sensitive Reinforcement Learning: A Constrained Optimization Viewpoint

The classic objective in a reinforcement learning (RL) problem is to find a policy that minimizes, in expectation, a long-run objective such as the infinite-horizon discounted or long-run average cost. In many practical applications, optimizing the expected value alone is not sufficient, and it may be necessary to include a risk measure in the optimization process, either as the objective or as a constraint. Various risk measures have been proposed in the literature, e.g., mean-variance tradeoff, exponential utility, the percentile performance, value at risk, conditional value at risk, prospect theory and its later enhancement, cumulative prospect theory. In this article, we focus on the combination of risk criteria and reinforcement learning in a constrained optimization framework, i.e., a setting where the goal to find a policy that optimizes the usual objective of infinite-horizon discounted/average cost, while ensuring that an explicit risk constraint is satisfied. We introduce the risk-constrained RL framework, cover popular risk measures based on variance, conditional value-at-risk and cumulative prospect theory, and present a template for a risk-sensitive RL algorithm. We survey some of our recent work on this topic, covering problems encompassing discounted cost, average cost, and stochastic shortest path settings, together with the aforementioned risk measures in a constrained framework. This non-exhaustive survey is aimed at giving a flavor of the challenges involved in solving a risk-sensitive RL problem, and outlining some potential future research directions