Abstract

This paper addresses the problem of online planning in Markov decision processes using a randomized simulator, under a budget constraint. We propose a new algorithm which is based on the construction of a forest of planning trees, where each tree corresponds to a random realization of the stochastic environment. The trees are constructed using a “safe” optimistic planning strategy combining the optimistic principle (in order to explore the most promising part of the search space first) with a safety principle (which guarantees a certain amount of uniform exploration). In the decision-making step of the algorithm, the individual trees are aggregated and an immediate action is recommended. We provide a finite-sample analysis and discuss the trade-off between the principles of optimism and safety. We also report numerical results on a benchmark problem. Our algorithm performs as well as state-of-the-art optimistic planning algorithms, and better than a related algorithm which additionally assumes the knowledge of all transition distributions.