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We develop policy gradients methods for stochastic control with exit time in a model-free setting. We propose two types of algorithms for learning either directly the optimal policy or by learning alternately the value function (critic) and…

Computational Finance · Quantitative Finance 2023-02-16 Mohamed Hamdouche , Pierre Henry-Labordere , Huyen Pham

We study reinforcement learning in hybrid discrete-continuous action spaces, such as settings where the discrete component selects a regime (or index) and the continuous component optimizes within it -- a structure common in robotics,…

Machine Learning · Computer Science 2026-05-15 Matias Alvo , Daniel Russo , Yash Kanoria

We propose a gradient-free deep reinforcement learning algorithm to solve high-dimensional, finite-horizon stochastic control problems. Although the recently developed deep reinforcement learning framework has achieved great success in…

Optimization and Control · Mathematics 2025-02-03 Liyao Lyu , Jingrun Chen

The ability to exploit prior experience to solve novel problems rapidly is a hallmark of biological learning systems and of great practical importance for artificial ones. In the meta reinforcement learning literature much recent work has…

This paper studies a policy optimization problem arising from collaborative multi-agent reinforcement learning in a decentralized setting where agents communicate with their neighbors over an undirected graph to maximize the sum of their…

Optimization and Control · Mathematics 2022-09-07 Jinchi Chen , Jie Feng , Weiguo Gao , Ke Wei

In this theoretical paper we are concerned with the problem of learning a value function by a smooth general function approximator, to solve a deterministic episodic control problem in a large continuous state space. It is shown that…

Machine Learning · Computer Science 2011-01-04 Michael Fairbank , Eduardo Alonso

In many real-world reinforcement learning applications, access to the environment is limited to a fixed dataset, instead of direct (online) interaction with the environment. When using this data for either evaluation or training of a new…

Machine Learning · Computer Science 2019-11-06 Ofir Nachum , Yinlam Chow , Bo Dai , Lihong Li

This paper investigates the use of prior computation to estimate the value function to improve sample efficiency in on-policy policy gradient methods in reinforcement learning. Our approach is to estimate the value function from prior…

Machine Learning · Computer Science 2023-02-06 Md Masudur Rahman , Yexiang Xue

Many real-world problems come with action spaces represented as feature vectors. Although high-dimensional control is a largely unsolved problem, there has recently been progress for modest dimensionalities. Here we report on a successful…

Artificial Intelligence · Computer Science 2015-12-17 Peter Sunehag , Richard Evans , Gabriel Dulac-Arnold , Yori Zwols , Daniel Visentin , Ben Coppin

In contact-rich tasks, the hybrid, multi-modal nature of contact dynamics poses great challenges in model representation, planning, and control. Recent efforts have attempted to address these challenges via data-driven methods, learning…

Robotics · Computer Science 2024-03-11 Hien Bui , Michael Posa

In the field of reinforcement learning there has been recent progress towards safety and high-confidence bounds on policy performance. However, to our knowledge, no practical methods exist for determining high-confidence policy performance…

Artificial Intelligence · Computer Science 2018-06-26 Daniel S. Brown , Scott Niekum

Exploration policies in Bayesian bandits maximize the average reward over problem instances drawn from some distribution $\mathcal{P}$. In this work, we learn such policies for an unknown distribution $\mathcal{P}$ using samples from…

Machine Learning · Computer Science 2020-06-11 Craig Boutilier , Chih-Wei Hsu , Branislav Kveton , Martin Mladenov , Csaba Szepesvari , Manzil Zaheer

Reinforcement learning is a promising approach to learning robotics controllers. It has recently been shown that algorithms based on finite-difference estimates of the policy gradient are competitive with algorithms based on the policy…

Machine Learning · Computer Science 2021-10-12 Osbert Bastani

Various algorithms for reinforcement learning (RL) exhibit dramatic variation in their convergence rates as a function of problem structure. Such problem-dependent behavior is not captured by worst-case analyses and has accordingly inspired…

Machine Learning · Statistics 2022-01-24 Koulik Khamaru , Eric Xia , Martin J. Wainwright , Michael I. Jordan

Dealing with high variance is a significant challenge in model-free reinforcement learning (RL). Existing methods are unreliable, exhibiting high variance in performance from run to run using different initializations/seeds. Focusing on…

Machine Learning · Computer Science 2019-05-15 Richard Cheng , Abhinav Verma , Gabor Orosz , Swarat Chaudhuri , Yisong Yue , Joel W. Burdick

Policy gradient methods are among the most effective methods for large-scale reinforcement learning, and their empirical success has prompted several works that develop the foundation of their global convergence theory. However, prior works…

Machine Learning · Computer Science 2020-12-25 Junzi Zhang , Jongho Kim , Brendan O'Donoghue , Stephen Boyd

Traditional model-based reinforcement learning approaches learn a model of the environment dynamics without explicitly considering how it will be used by the agent. In the presence of misspecified model classes, this can lead to poor…

Machine Learning · Computer Science 2020-10-20 Pierluca D'Oro , Alberto Maria Metelli , Andrea Tirinzoni , Matteo Papini , Marcello Restelli

This research explores the trainability of Parameterized Quantum circuit-based policies in Reinforcement Learning, an area that has recently seen a surge in empirical exploration. While some studies suggest improved sample complexity using…

Quantum Physics · Physics 2024-06-17 André Sequeira , Luis Paulo Santos , Luis Soares Barbosa

We present an efficient algorithm for model-free episodic reinforcement learning on large (potentially continuous) state-action spaces. Our algorithm is based on a novel $Q$-learning policy with adaptive data-driven discretization. The…

Machine Learning · Computer Science 2019-12-20 Sean R. Sinclair , Siddhartha Banerjee , Christina Lee Yu

The enduring challenge in the field of artificial intelligence has been the control of systems to achieve desired behaviours. While for systems governed by straightforward dynamics equations, methods like Linear Quadratic Regulation (LQR)…

Machine Learning · Computer Science 2023-12-29 Jyothir S , Siddhartha Jalagam , Yann LeCun , Vlad Sobal
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