Distributionally Robust Partially Observable Markov Decision Process with Moment-Based Ambiguity

• Published in: SIAM journal on optimization 2021-02, Vol.31 (1), p.461-488
• Main Authors: Nakao, Hideaki, Jiang, Ruiwei, Shen, Siqian
• Format: Article
• Language: English
• Subjects: distributionally robust optimization; epidemic control; heuristic search value iteration; HSVI; MATHEMATICS AND COMPUTING; moment-based ambiguity set; partially observable Markov decision process; POMDP
• ISSN: 1052-6234; 1095-7189
• DOI: 10.1137/19M1268410

In this paper, we consider a distributionally robust partially observable Markov decision process (DR-POMDP), where the distribution of the transition-observation probabilities is unknown at the beginning of each decision period, but their realizations can be inferred using side information at the end of each period after an action being taken. We build an ambiguity set of the joint distribution using bounded moments via conic constraints and seek an optimal policy to maximize the worst-case (minimum) reward for any distribution in the set. We show that the value function of DR-POMDP is piecewise linear convex with respect to the belief state and propose a heuristic search value iteration method for obtaining lower and upper bounds of the value function. We conduct numerical studies and demonstrate the computational performance of our approach via testing instances of a dynamic epidemic control problem. Our results show that DR-POMDP can produce more robust policies under misspecified distributions of transition-observation probabilities as compared to POMDP but has less costly solutions than robust POMDP. The DR-POMDP policies are also insensitive to varying parameter in the ambiguity set and to noise added to the true transition-observation probability values obtained at the end of each decision period.