Lightning Does Not Strike Twice: Robust MDPs with Coupled Uncertainty

Understand

We consider Markov decision processes under parameter uncertainty.

• Previous studies all restrict to the case that uncertainties among different states are uncoupled, which leads to conservative solutions.
• In contrast, we introduce an intuitive concept, termed "Lightning Does not Strike Twice," to model coupled uncertain parameters.
• Specifically, we require that the system can deviate from its nominal parameters only a bounded number of times.