Efficient Sensitivity Analysis for Parametric Robust Markov Chains

• URL: http://arxiv.org/abs/2305.01473v1
• Date: Mon, 1 May 2023 08:23:55 GMT
• Title: Efficient Sensitivity Analysis for Parametric Robust Markov Chains
• Authors: Thom Badings, Sebastian Junges, Ahmadreza Marandi, Ufuk Topcu, Nils Jansen
• Abstract summary: We provide a novel method for sensitivity analysis of robust Markov chains. We measure sensitivity in terms of partial derivatives with respect to the uncertain transition probabilities. We embed the results within an iterative learning scheme that profits from having access to a dedicated sensitivity analysis.
• Score: 23.870902923521335
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We provide a novel method for sensitivity analysis of parametric robust Markov chains. These models incorporate parameters and sets of probability distributions to alleviate the often unrealistic assumption that precise probabilities are available. We measure sensitivity in terms of partial derivatives with respect to the uncertain transition probabilities regarding measures such as the expected reward. As our main contribution, we present an efficient method to compute these partial derivatives. To scale our approach to models with thousands of parameters, we present an extension of this method that selects the subset of $k$ parameters with the highest partial derivative. Our methods are based on linear programming and differentiating these programs around a given value for the parameters. The experiments show the applicability of our approach on models with over a million states and thousands of parameters. Moreover, we embed the results within an iterative learning scheme that profits from having access to a dedicated sensitivity analysis.

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