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Decision making in uncertain and risky environments is a prominent area of research. Standard economic theories fail to fully explain human behaviour, while a potentially promising alternative may lie in the direction of Reinforcement…
Deep Q-learning is investigated as an end-to-end solution to estimate the optimal strategies for acting on time series input. Experiments are conducted on two idealized trading games. 1) Univariate: the only input is a wave-like price time…
The behaviour of multi-agent learning in competitive network games is often studied within the context of zero-sum games, in which convergence guarantees may be obtained. However, outside of this class the behaviour of learning is known to…
Given a set of trajectories demonstrating the execution of a task safely in a constrained MDP with observable rewards but with unknown constraints and non-observable costs, we aim to find a policy that maximizes the likelihood of…
The behaviour of multi-agent learning in competitive settings is often considered under the restrictive assumption of a zero-sum game. Only under this strict requirement is the behaviour of learning well understood; beyond this, learning…
We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "risk" from both stochastic state transitions (inherent to the…
Clinical decision-making often involves selecting tests that are costly, invasive, or time-consuming, motivating individualized, sequential strategies for what to measure and when to stop ascertaining. We study the problem of learning…
We consider the problem of sequentially making decisions that are rewarded by "successes" and "failures" which can be predicted through an unknown relationship that depends on a partially controllable vector of attributes for each instance.…
We derive a family of risk-sensitive reinforcement learning methods for agents, who face sequential decision-making tasks in uncertain environments. By applying a utility function to the temporal difference (TD) error, nonlinear…
Q-learning is a promising method for solving optimal control problems for uncertain systems without the explicit need for system identification. However, approaches for continuous-time Q-learning have limited provable safety guarantees,…
This paper addresses zero-sum ``turn'' games, in which only one player can make decisions at each state. We show that pure saddle-point state-feedback policies for turn games can be constructed from dynamic programming fixed-point equations…
Q-learning is a stochastic approximation version of the classic value iteration. The literature has established that Q-learning suffers from both maximization bias and slower convergence. Recently, multi-step algorithms have shown practical…
Q-learning can be described as an all-purpose automaton that provides estimates (Q-values) of the continuation values associated with each available action and follows the naive policy of almost always choosing the action with highest…
This paper studies the problem of risk-sensitive reinforcement learning (RSRL) in continuous time, where the environment is characterized by a controllable stochastic differential equation (SDE) and the objective is a potentially nonlinear…
Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a…
Q-learning is a regression-based approach that is widely used to formalize the development of an optimal dynamic treatment strategy. Finite dimensional working models are typically used to estimate certain nuisance parameters, and…
We explore a scenario involving two sites and a sequential game between a defender and an attacker, where the defender is responsible for securing the sites while the attacker aims to attack them. Each site holds a loss value for the…
We consider decision problems under uncertainty where the options available to a decision maker and the resulting outcome are related through a causal mechanism which is unknown to the decision maker. We ask how a decision maker can learn…
Designing tax policies that are effective in curbing tax evasion and maximize state revenues requires a rigorous understanding of taxpayer behavior. This work explores the problem of determining the strategy a self-interested, risk-averse…
Achieving convergence of multiple learning agents in general $N$-player games is imperative for the development of safe and reliable machine learning (ML) algorithms and their application to autonomous systems. Yet it is known that, outside…