12 research outputs found
POMDPs in Continuous Time and Discrete Spaces
Many processes, such as discrete event systems in engineering or population
dynamics in biology, evolve in discrete space and continuous time. We consider
the problem of optimal decision making in such discrete state and action space
systems under partial observability. This places our work at the intersection
of optimal filtering and optimal control. At the current state of research, a
mathematical description for simultaneous decision making and filtering in
continuous time with finite countable state and action spaces is still missing.
In this paper, we give a mathematical description of a continuous-time POMDP.
By leveraging optimal filtering theory we derive a HJB type equation that
characterizes the optimal solution. Using techniques from deep learning we
approximately solve the resulting partial integro-differential equation. We
present (i) an approach solving the decision problem offline by learning an
approximation of the value function and (ii) an online algorithm which provides
a solution in belief space using deep reinforcement learning. We show the
applicability on a set of toy examples which pave the way for future methods
providing solutions for high dimensional problems.Comment: published at Conference on Neural Information Processing Systems
(NeurIPS) 202