The paper derives convex upper-bound and LP lower-bound approximations for chance-constrained MDPs with random costs and random transition probabilities, and tests their gaps numerically.
Joint cha nce-constrained Markov decision processes
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Convex Approximations of Random Constrained Markov Decision Processes
The paper derives convex upper-bound and LP lower-bound approximations for chance-constrained MDPs with random costs and random transition probabilities, and tests their gaps numerically.