Approximation Schemes for POMPDs with Continuous Spaces and Their Near Optimality

Ali Devran Kara, Erhan Bayraktar, Serdar Yuksel

Published 2024-10-03Version 1

We study an approximation method for partially observed Markov decision processes (POMDPs) with continuous spaces. Belief MDP reduction, which has been the standard approach to study POMDPs requires rigorous approximation methods for practical applications, due to the state space being lifted to the space of probability measures. Generalizing recent work, in this paper we present rigorous approximation methods via discretizing the observation space and constructing a fully observed finite MDP model using a finite length history of the discrete observations and control actions. We show that the resulting policy is near-optimal under some regularity assumptions on the channel, and under certain controlled filter stability requirements for the hidden state process. Furthermore, by quantizing the measurements, we are able to utilize refined filter stability conditions. We also provide a Q learning algorithm that uses a finite memory of discretized information variables, and prove its convergence to the optimality equation of the finite fully observed MDP constructed using the approximation method.