Randomization for Faster Exact Optimization of Discounted Markov Decision Processes

Abstract

We provide faster running times for exactly solving discounted Markov Decision Processes (DMDPs) in strongly polynomial time. We obtain our results by efficiently reducing computing optimal values and policies in DMDPs to the easier tasks of policy evaluation and computing approximately optimal values. We provide both a straightforward deterministic reduction and a more efficient randomized variant that, together with advances in approximately solving DMDPs, yield our results.