Flexible Decomposition Algorithms for Weakly Coupled Markov Decision
  Problems
  This paper presents two new approaches to decomposing and solving large
Markov decision problems (MDPs), a partial decoupling method and a complete
decoupling method. In these approaches, a large, stochastic decision problem is
divided into smaller pieces. The first approach builds a cache of policies for
each part of the problem independently, and then combines the pieces in a
separate, light-weight step. A second approach also divides the problem into
smaller pieces, but information is communicated between the different problem
pieces, allowing intelligent decisions to be made about which piece requires
the most attention. Both approaches can be used to find optimal policies or
approximately optimal policies with provable bounds. These algorithms also
provide a framework for the efficient transfer of knowledge across problems
that share similar structure.
