A fast solver for Markov Decision Processes
Project description
MDPSolver
MDPSolver is a Python package for large Markov Decision Processes (MDPs) with infinite-horizons.
Features
- Fast solver: Our C++-based solver is substantially faster than other MDP packages available for Python. See details in the documentation.
- Two optimality criteria: Discounted and Average reward.
- Three optimization algorithms: Value iteration, Policy iteration, and Modified policy iteration.
- Three value-update methods: Standard, Gauss–Seidel, and Successive over-relaxation.
- Supports sparse matrices.
- Employs parallel computing.
Installation
Linux
Install directly from PyPI with:
pip install mdpsolver
MDPSolver works out of the box on Linux.
Windows
Requires Visual Studio 2022 (17.9) with MSVC C++ compiler and libraries installed.
After installing Visual Studio (incl. MSVC C++ compiler and libraries), install directly from PyPI with:
pip install mdpsolver
Quick start guide
The following shows how to get quickly started with mdpsolver
.
Usage
Start by specifying the reward function and transition probabilities as lists. The following is an example of a simple MDP containing three states and two actions in each state.
#Import packages
import mdpsolver
#Rewards (3 states x 2 actions)
#e.g. choosing second action in first state gives reward=-1
rewards = [[5,-1],
[1,-2],
[50,0]]
#Transition probabilities (3 from_states x 2 actions x 3 to_states)
#e.g. choosing first action in third state gives a probability of 0.6 of staying in third state
tranMatWithZeros = [[[0.9,0.1,0.0],[0.1,0.9,0.0]],
[[0.4,0.5,0.1],[0.3,0.5,0.2]],
[[0.2,0.2,0.6],[0.5,0.5,0.0]]]
Now, create the model object and insert the problem parameters.
#Create model object
mdl = mdpsolver.model()
#Insert the problem parameters
mdl.mdp(discount=0.8,
rewards=rewards,
tranMatWithZeros=tranMatWithZeros)
We can now optimize the policy.
mdl.solve()
The optimized policy can be returned in a variety of ways. Here, we return the policy as a list and print directly in the terminal.
print(mdl.getPolicy())
#[1, 1, 0]
Sparse transition matrix?
mdpsolver
has three alternative formats for large and highly sparse transition probability matrices.
(1) Elementwise representation (excluding elements containing zeros):
#[from_state,action,to_state,probability]
tranMatElementwise = [[0,0,0,0.9],
[0,0,1,0.1],
[0,1,0,0.1],
[0,1,1,0.9],
[1,0,0,0.4],
[1,0,1,0.5],
[1,0,2,0.1],
[1,1,0,0.3],
[1,1,1,0.5],
[1,1,2,0.2],
[2,0,0,0.2],
[2,0,1,0.2],
[2,0,2,0.6],
[2,1,0,0.5],
[2,1,1,0.5]]
mdl.mdp(discount=0.8,
rewards=rewards,
tranMatElementwise=tranMatElementwise)
(2) Probabilities and column (to_state) indices in separate lists:
tranMatProbs = [[[0.9,0.1],[0.1,0.9]],
[[0.4,0.5,0.1],[0.3,0.5,0.2]],
[[0.2,0.2,0.6],[0.5,0.5]]]
tranMatColumns = [[[0,1],[0,1]],
[[0,1,2],[0,1,2]],
[[0,1,2],[0,1]]]
mdl.mdp(discount=0.8,
rewards=rewards,
tranMatProbs=tranMatProbs,
tranMatColumns=tranMatColumns)
(3) Load the elementwise representation from a file:
mdl.mdp(discount=0.8,
rewards=rewards,
tranMatFromFile="transitions.csv")
Documentation
The documentation can be found in the wiki for MDPSolver (https://github.com/areenberg/MDPSolver/wiki).
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