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Free, publicly-accessible full text available February 1, 2025
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Krause, Andreas ; Brunskill, Emma ; Cho, Kyunghyun ; Engelhardt ; Barbara ; Sabato, Sivan ; Scarlett, Jonathan (Ed.)Robust Markov decision processes (MDPs) address the challenge of model uncertainty by optimizing the worst-case performance over an uncertainty set of MDPs. In this paper, we focus on the robust average-reward MDPs under the modelfree setting. We first theoretically characterize the structure of solutions to the robust averagereward Bellman equation, which is essential for our later convergence analysis. We then design two model-free algorithms, robust relative value iteration (RVI) TD and robust RVI Q-learning, and theoretically prove their convergence to the optimal solution. We provide several widely used uncertainty sets as examples, including those def ined by the contamination model, total variation, Chi-squared divergence, Kullback-Leibler (KL) divergence and Wasserstein distance.more » « less