math.OCMar 13, 2026

Weakly Time-Coupled Approximation of Markov Decision Processes

Authors: Negar Soheili, Selvaprabu Nadarajah, Bo Yang

Organizations: Information and Decision Sciences Department, University of Illinois at Chicago, Chicago, IL, 60607 · Industrial Engineering and Decision Analytics, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong SAR

Abstract

Finite-horizon Markov decision processes (MDPs) with high-dimensional exogenous uncertainty and endogenous states arise in operations and finance, including the valuation and exercise of Bermudan and real options, but face a scalability barrier as computational complexity grows with the horizon. A common approximation represents the value function using basis functions, but methods for fitting weights treat cross-stage optimization differently. Least squares Monte Carlo (LSM) fits weights via backward recursion and regression, avoiding joint optimization but accumulating error over the horizon. Approximate linear programming (ALP) and pathwise optimization (PO) jointly fit weights to produce upper bounds, but temporal coupling causes computational complexity to grow with the horizon. We show this coupling is an artifact of the approximation architecture, and develop a weakly time-coupled approximation (WTCA) where cross-stage dependence is independent of horizon. For any fixed basis function set, the WTCA upper bound is tighter than that of ALP and looser than that of PO, and converges to the optimal policy value as the basis family expands. We extend parallel deterministic block coordinate descent to the stochastic MDP setting exploiting weak temporal coupling. Applied to WTCA, weak coupling yields computational complexity independent of the horizon. Within equal time budget, solving WTCA accommodates more exogenous samples or basis functions than PO, yielding tighter bounds despite PO being tighter for fixed samples and basis functions. On Bermudan option and ethanol production instances, WTCA produces tighter upper bounds than PO and LSM in every instance tested, with near-optimal policies at longer horizons.

Figures & tables

Explore similar work

May 17, 2025

Adaptive Resolving Methods for Markov Decision Processes with Function Approximations

Learning the optimal policy for Markov decision process problems (MDPs) from samples is a fundamental problem in online and data-driven decision-making. Function approximations are usually deployed to handle large or infinite state-action space. In our work, we consider the MDP problems with function approximation and we develop a new algorithm to solve it efficiently. Our algorithm is based on a linear programming (LP) reformulation and repeatedly resolves the identified reduced linear system as new transition samples arrive. After the optimal basis is identified, we show that, after NN resolving rounds, the expected averaged iterate achieves an instance-dependent O~(Cinst/N)\widetilde O(C_{\mathrm{inst}}/N) objective shortfall and signed constraint residual. We separately account for the historical samples used for basis identification and the d2d_2 transition queries used in each resolving round, which yields the corresponding total transition-query complexity. We further complement our result with a robust O(1/N)O(1/\sqrt{N}) bound that is independent of ΔΔ. In comparison to the guarantees established in the previous literature, our instance dependent guarantee is tighter when the underlying instance is favorable, and the numerical experiments also reveal the wide applications and efficient empirical performances of our algorithms.
Jun 12, 2026

Lyapunov-Based Sample Complexity Analysis for Weakly-Coupled MDPs

We study the sample complexity of learning in average-reward weakly-coupled Markov decision processes (WCMDPs) and Restless Bandits (RBs) under a generative model. Naive reduction to a tabular MDP leads to high complexity bounds as the state-action space is exponentially large in the number of arms NN. By exploiting the weakly coupled structure, we show that near-optimal policies can be learned with sample and computational complexities that are polynomial in NN. Specifically, we analyze the plug-in approach, which applies an efficient planning algorithm to an empirical model estimated from data. For fully heterogeneous WCMDPs, we establish the first finite-sample PAC guarantee with polynomial complexity and an O(1/N)O(1/\sqrt{N}) optimality gap. For homogeneous RBs, we further prove that a smaller optimality gap is achievable under mild structural assumptions. A primary technical contribution of our work is a novel Lyapunov-based analysis framework. Unlike classical approaches that rely on the difficult-to-control bias function, our framework uses an explicitly constructed Lyapunov function along with a drift transfer technique between the true and empirical models. A key step of independent interest in our framework is a fine-grained perturbation analysis for the underlying linear programming (LP) relaxation, which provides a general tool for analyzing LP-based policies and weakly-coupled systems.
Sep 14, 2026

Strong and Compact Policies for Submodular Markov Decision Processes via LP-Based Submodular Orienteering

Finding policies for Markov Decision Processes (MDPs) is a central problem in areas such as Reinforcement Learning and Operations Research. Here, we have to repeatedly choose an action that should be performed by an agent. Depending on the action and the current state of the agent, the agent collects a reward and randomly transitions into a new state. The goal is to maximize the reward in expectation over a finite time horizon of length HH. We consider a recently introduced variant that generalizes the traditionally additive reward function in the model to a monotone submodular one, which allows for capturing a range of interesting applications. Without the stochastic component, this problem is equivalent to the Submodular Orienteering problem, where the goal is to find an ss-tt walk in a directed graph maximizing a monotone submodular function under a length constraint. We present a novel LP-based algorithm for Submodular Orienteering using ideas from the Sherali-Adams hierarchy and Round-or-Cut. Our guarantees are comparable to the known quasi-polynomial time logarithmic approximation for Submodular Orienteering, but also extend to the setting of Submodular Markov Decision Processes. In the polynomial time regime, we present an O(nε)O(n^{\varepsilon})-approximation (and O(Hε)O(H^{\varepsilon}) for Submodular MDPs) for every ε>0\varepsilon >0, where nn is the number of vertices, which was unknown even for Submodular Orienteering. Prior to our work, the best known approximation guarantee for Submodular MDPs had an approximation ratio linear in HH. Beyond these algorithmic results, our methods reveal a trade-off between the approximation guarantee and the number of previously visited vertices on which an agent conditions its decision.