Discounted continuous-time constrained Markov decision processes in Polish spaces

This paper is devoted to studying constrained continuous-time Markov decision processes (MDPs) in the class of randomized policies depending on state histories. The transition rates may be unbounded, the reward and costs are admitted to be unbounded from above and from below, and the state and action spaces are Polish spaces. The optimality criterion to be maximized is the expected discounted rewards, and the constraints can be imposed on the expected discounted costs. First, we give conditions for the nonexplosion of underlying processes and the finiteness of the expected discounted rewards/costs. Second, using a technique of occupation measures, we prove that the constrained optimality of continuous-time MDPs can be transformed to an equivalent (optimality) problem over a class of probability measures. Based on the equivalent problem and a so-called $\bar{w}$-weak convergence of probability measures developed in this paper, we show the existence of a constrained optimal policy. Third, by providing a linear programming formulation of the equivalent problem, we show the solvability of constrained optimal policies. Finally, we use two computable examples to illustrate our main results.Comment: Published in at http://dx.doi.org/10.1214/10-AAP749 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Update or Wait: How to Keep Your Data Fresh

In this work, we study how to optimally manage the freshness of information updates sent from a source node to a destination via a channel. A proper metric for data freshness at the destination is the age-of-information, or simply age, which is defined as how old the freshest received update is since the moment that this update was generated at the source node (e.g., a sensor). A reasonable update policy is the zero-wait policy, i.e., the source node submits a fresh update once the previous update is delivered and the channel becomes free, which achieves the maximum throughput and the minimum delay. Surprisingly, this zero-wait policy does not always minimize the age. This counter-intuitive phenomenon motivates us to study how to optimally control information updates to keep the data fresh and to understand when the zero-wait policy is optimal. We introduce a general age penalty function to characterize the level of dissatisfaction on data staleness and formulate the average age penalty minimization problem as a constrained semi-Markov decision problem (SMDP) with an uncountable state space. We develop efficient algorithms to find the optimal update policy among all causal policies, and establish sufficient and necessary conditions for the optimality of the zero-wait policy. Our investigation shows that the zero-wait policy is far from the optimum if (i) the age penalty function grows quickly with respect to the age, (ii) the packet transmission times over the channel are positively correlated over time, or (iii) the packet transmission times are highly random (e.g., following a heavy-tail distribution)

Multiscale Markov Decision Problems: Compression, Solution, and Transfer Learning

Many problems in sequential decision making and stochastic control often have natural multiscale structure: sub-tasks are assembled together to accomplish complex goals. Systematically inferring and leveraging hierarchical structure, particularly beyond a single level of abstraction, has remained a longstanding challenge. We describe a fast multiscale procedure for repeatedly compressing, or homogenizing, Markov decision processes (MDPs), wherein a hierarchy of sub-problems at different scales is automatically determined. Coarsened MDPs are themselves independent, deterministic MDPs, and may be solved using existing algorithms. The multiscale representation delivered by this procedure decouples sub-tasks from each other and can lead to substantial improvements in convergence rates both locally within sub-problems and globally across sub-problems, yielding significant computational savings. A second fundamental aspect of this work is that these multiscale decompositions yield new transfer opportunities across different problems, where solutions of sub-tasks at different levels of the hierarchy may be amenable to transfer to new problems. Localized transfer of policies and potential operators at arbitrary scales is emphasized. Finally, we demonstrate compression and transfer in a collection of illustrative domains, including examples involving discrete and continuous statespaces.Comment: 86 pages, 15 figure

Markov Decision Processes with Applications in Wireless Sensor Networks: A Survey

Wireless sensor networks (WSNs) consist of autonomous and resource-limited devices. The devices cooperate to monitor one or more physical phenomena within an area of interest. WSNs operate as stochastic systems because of randomness in the monitored environments. For long service time and low maintenance cost, WSNs require adaptive and robust methods to address data exchange, topology formulation, resource and power optimization, sensing coverage and object detection, and security challenges. In these problems, sensor nodes are to make optimized decisions from a set of accessible strategies to achieve design goals. This survey reviews numerous applications of the Markov decision process (MDP) framework, a powerful decision-making tool to develop adaptive algorithms and protocols for WSNs. Furthermore, various solution methods are discussed and compared to serve as a guide for using MDPs in WSNs