Constructing MDP Abstractions Using Data With Formal Guarantees

This letter is concerned with a data-driven technique for constructing finite Markov decision processes (MDPs) as finite abstractions of discrete-time stochastic control systems with
unknown
dynamics while providing formal closeness guarantees. The proposed scheme is based on notions of
stochastic bisimulation functions
(SBF) to capture the probabilistic distance between state trajectories of an unknown stochastic system and those of finite MDP. In our proposed setting, we first reformulate corresponding conditions of SBF as a robust convex program (RCP). We then propose a scenario convex program (SCP) associated to the original RCP by collecting a finite number of data from trajectories of the system. We ultimately construct an SBF between the data-driven finite MDP and the unknown stochastic system with a given confidence level by establishing a probabilistic relation between optimal values of the SCP and the RCP. We also propose two different approaches for the construction of finite MDPs from data. We illustrate the efficacy of our results over a
nonlinear
jet engine compressor with unknown dynamics. We construct a data-driven finite MDP as a suitable substitute of the original system to synthesize controllers maintaining the system in a safe set with some probability of satisfaction and a desirable confidence level.