{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/robust-q-learning-for-finite-ambiguity-sets","title":"Robust Q-Learning for finite ambiguity sets","arxiv_id":"2407.04259","date":"2024-07-05","proceeding":null,"authors":["Cécile Decker","Julian Sester"],"abstract":"In this paper we propose a novel $Q$-learning algorithm allowing to solve distributionally robust Markov decision problems for which the ambiguity set of probability measures can be chosen arbitrarily as long as it comprises only a finite amount of measures. Therefore, our approach goes beyond the well-studied cases involving ambiguity sets of balls around some reference measure with the distance to reference measure being measured with respect to the Wasserstein distance or the Kullback--Leibler divergence. Hence, our approach allows the applicant to create ambiguity sets better tailored to her needs and to solve the associated robust Markov decision problem via a $Q$-learning algorithm whose convergence is guaranteed by our main result. Moreover, we showcase in several numerical experiments the tractability of our approach.","url_abs":"https://arxiv.org/abs/2407.04259v2","url_pdf":"https://arxiv.org/pdf/2407.04259v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"robust-q-learning-for-finite-ambiguity-sets","repo_url":"https://github.com/ceciledecker/finiteqlearning","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"q-learning","task_name":"Q-Learning"}],"methods":[{"method_slug":"set","method_name":"SET"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}