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This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…

Optimization and Control · Mathematics 2024-03-04 Deyue Li

Model predictive control (MPC) is widely used for motion planning, particularly in autonomous driving. Real-time capability of the planner requires utilizing convex approximation of optimal control problems (OCPs) for the planner. However,…

Robotics · Computer Science 2025-12-04 Johannes Fischer , Marlon Steiner , Ömer Sahin Tas , Christoph Stiller

In this work, we introduce a stochastic maximum principle (SMP) approach for solving the reinforcement learning problem with the assumption that the unknowns in the environment can be parameterized based on physics knowledge. For the…

Optimization and Control · Mathematics 2023-06-14 Richard Archibald , Feng Bao , Jiongmin Yong

Direct policy gradient methods for reinforcement learning and continuous control problems are a popular approach for a variety of reasons: 1) they are easy to implement without explicit knowledge of the underlying model 2) they are an…

Machine Learning · Computer Science 2019-03-26 Maryam Fazel , Rong Ge , Sham M. Kakade , Mehran Mesbahi

We study the problem of computing deterministic optimal policies for constrained Markov decision processes (MDPs) with continuous state and action spaces, which are widely encountered in constrained dynamical systems. Designing…

Artificial Intelligence · Computer Science 2025-04-07 Sergio Rozada , Dongsheng Ding , Antonio G. Marques , Alejandro Ribeiro

Reinforcement learning algorithms typically necessitate extensive exploration of the state space to find optimal policies. However, in safety-critical applications, the risks associated with such exploration can lead to catastrophic…

Machine Learning · Computer Science 2025-02-28 Kaustubh Mani , Vincent Mai , Charlie Gauthier , Annie Chen , Samer Nashed , Liam Paull

Deploying deep reinforcement learning in safety-critical settings requires developing algorithms that obey hard constraints during exploration. This paper contributes a first approach toward enforcing formal safety constraints on end-to-end…

Artificial Intelligence · Computer Science 2020-07-03 Nathan Hunt , Nathan Fulton , Sara Magliacane , Nghia Hoang , Subhro Das , Armando Solar-Lezama

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 consider an improper reinforcement learning setting where a learner is given $M$ base controllers for an unknown Markov decision process, and wishes to combine them optimally to produce a potentially new controller that can outperform…

Machine Learning · Computer Science 2021-07-06 Mohammadi Zaki , Avinash Mohan , Aditya Gopalan , Shie Mannor

Policy gradient methods have become a standard for training reinforcement learning agents in a scalable and efficient manner. However, they do not account for transition uncertainty, whereas learning robust policies can be computationally…

Machine Learning · Computer Science 2023-12-12 Navdeep Kumar , Esther Derman , Matthieu Geist , Kfir Levy , Shie Mannor

Safety is a critical feature of controller design for physical systems. When designing control policies, several approaches to guarantee this aspect of autonomy have been proposed, such as robust controllers or control barrier functions.…

Machine Learning · Computer Science 2021-02-26 Miguel Calvo-Fullana , Luiz F. O. Chamon , Santiago Paternain

Deep reinforcement learning has been successfully applied to many control tasks, but the application of such agents in safety-critical scenarios has been limited due to safety concerns. Rigorous testing of these controllers is challenging,…

Artificial Intelligence · Computer Science 2020-07-09 Edoardo Bacci , David Parker

Policy gradient methods in actor-critic reinforcement learning (RL) have become perhaps the most promising approaches to solving continuous optimal control problems. However, the trial-and-error nature of RL and the inherent randomness…

Machine Learning · Computer Science 2024-04-19 Ruofan Wu , Junmin Zhong , Jennie Si

The energy transition has increased the reliance on intermittent energy sources, destabilizing energy markets and causing unprecedented volatility, culminating in the global energy crisis of 2021. In addition to harming producers and…

Trading and Market Microstructure · Quantitative Finance 2023-08-07 Jonas Hanetho

We provide performance guarantees for a variant of simulation-based policy iteration for controlling Markov decision processes that involves the use of stochastic approximation algorithms along with state-of-the-art techniques that are…

Machine Learning · Computer Science 2022-10-17 Anna Winnicki , R. Srikant

We introduce a simple but effective method for managing risk in model-based reinforcement learning with trajectory sampling that involves probabilistic safety constraints and balancing of optimism in the face of epistemic uncertainty and…

Machine Learning · Computer Science 2023-09-12 Marin Vlastelica , Sebastian Blaes , Cristina Pineri , Georg Martius

Risk-bounded motion planning is an important yet difficult problem for safety-critical tasks. While existing mathematical programming methods offer theoretical guarantees in the context of constrained Markov decision processes, they either…

Machine Learning · Computer Science 2021-08-05 Xin Huang , Meng Feng , Ashkan Jasour , Guy Rosman , Brian Williams

We study the safe reinforcement learning problem with nonlinear function approximation, where policy optimization is formulated as a constrained optimization problem with both the objective and the constraint being nonconvex functions. For…

Machine Learning · Computer Science 2019-10-29 Ming Yu , Zhuoran Yang , Mladen Kolar , Zhaoran Wang

Policy gradient methods, where one searches for the policy of interest by maximizing the value functions using first-order information, become increasingly popular for sequential decision making in reinforcement learning, games, and…

Optimization and Control · Mathematics 2023-10-10 Shicong Cen , Yuejie Chi

The unaffordable computation load of nonlinear model predictive control (NMPC) has prevented it for being used in robots with high sampling rates for decades. This paper is concerned with the policy learning problem for nonlinear MPC with…

Robotics · Computer Science 2022-11-21 Rizhong Wang , Huiping Li , Bin Liang , Yang Shi , Demin Xu
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