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The Covariance Matrix Adaptation Evolution Strategy (CMA-ES) is widely accepted as a robust derivative-free continuous optimization algorithm for non-linear and non-convex optimization problems. CMA-ES is well known to be almost…
Bayesian Optimization (BO) is an effective method for finding the global optimum of expensive black-box functions. However, it is well known that applying BO to high-dimensional optimization problems is challenging. To address this issue, a…
The main contribution of this paper resides in developing a new algorithmic approach for addressing the continuous-time joint replenishment problem, termed $\Psi$-pairwise alignment. The latter mechanism, through which we synchronize…
Policy Iteration (PI) is a classical family of algorithms to compute an optimal policy for any given Markov Decision Problem (MDP). The basic idea in PI is to begin with some initial policy and to repeatedly update the policy to one from an…
We consider approximate dynamic programming in $\gamma$-discounted Markov decision processes and apply it to approximate planning with linear value-function approximation. Our first contribution is a new variant of Approximate Policy…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
The beneficial effects of treatments vary across individuals in most studies. Treatment heterogeneity motivates practitioners to search for the optimal policy based on personal characteristics. A long-standing common practice in policy…
Guided policy search algorithms have been proven to work with incredible accuracy for not only controlling a complicated dynamical system, but also learning optimal policies from various unseen instances. One assumes true nature of the…
Policy optimization methods have shown great promise in solving complex reinforcement and imitation learning tasks. While model-free methods are broadly applicable, they often require many samples to optimize complex policies. Model-based…
Causal estimands can vary significantly depending on the relationship between outcomes in treatment and control groups, potentially leading to wide partial identification (PI) intervals that impede decision making. Incorporating covariates…
In order to compute near-optimal policies with policy-gradient algorithms, it is common in practice to include intrinsic exploration terms in the learning objective. Although the effectiveness of these terms is usually justified by an…
Model-free reinforcement learning methods such as the Proximal Policy Optimization algorithm (PPO) have successfully applied in complex decision-making problems such as Atari games. However, these methods suffer from high variances and high…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
Weighting methods in causal inference have been widely used to achieve a desirable level of covariate balancing. However, the existing weighting methods have desirable theoretical properties only when a certain model, either the propensity…
Hyperparameters of deep neural networks are often optimized by grid search, random search or Bayesian optimization. As an alternative, we propose to use the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), which is known for its…
This paper investigates recursive feasibility, recursive robust stability and near-optimality properties of policy iteration (PI). For this purpose, we consider deterministic nonlinear discrete-time systems whose inputs are generated by PI…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
Discrete-time stochastic optimal control remains a challenging problem for general, nonlinear systems under significant uncertainty, with practical solvers typically relying on the certainty equivalence assumption, replanning and/or…
Probabilistic inference is fundamentally hard, yet many tasks require optimization on top of inference, which is even harder. We present a new optimization-via-compilation strategy to scalably solve a certain class of such problems. In…
In this paper we propose an on-line policy iteration (PI) algorithm for finite-state infinite horizon discounted dynamic programming, whereby the policy improvement operation is done on-line, only for the states that are encountered during…