Paper ID: 2205.07338

Reductive MDPs: A Perspective Beyond Temporal Horizons

Thomas Spooner, Rui Silva, Joshua Lockhart, Jason Long, Vacslav Glukhov

Solving general Markov decision processes (MDPs) is a computationally hard problem. Solving finite-horizon MDPs, on the other hand, is highly tractable with well known polynomial-time algorithms. What drives this extreme disparity, and do problems exist that lie between these diametrically opposed complexities? In this paper we identify and analyse a sub-class of stochastic shortest path problems (SSPs) for general state-action spaces whose dynamics satisfy a particular drift condition. This construction generalises the traditional, temporal notion of a horizon via decreasing reachability: a property called reductivity. It is shown that optimal policies can be recovered in polynomial-time for reductive SSPs -- via an extension of backwards induction -- with an efficient analogue in reductive MDPs. The practical considerations of the proposed approach are discussed, and numerical verification provided on a canonical optimal liquidation problem.

Submitted: May 15, 2022