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Effective dynamics on a low-dimensional collective-variable (CV) or latent space can be simulated far more cheaply than the underlying high-dimensional stochastic system, but exploiting such coarse predictions requires lifting: turning a…
We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly…
Reinforcement learning suffers from limitations in real practices primarily due to the number of required interactions with virtual environments. It results in a challenging problem because we are implausible to obtain a local optimal…
Managing risk in dynamic decision problems is of cardinal importance in many fields such as finance and process control. The most common approach to defining risk is through various variance related criteria such as the Sharpe Ratio or the…
Existing work on risk-sensitive reinforcement learning - both for symmetric and downside risk measures - has typically used direct Monte-Carlo estimation of policy gradients. While this approach yields unbiased gradient estimates, it also…
Recent advances in high-fidelity simulators have enabled closed-loop training of autonomous driving agents, potentially solving the distribution shift in training v.s. deployment and allowing training to be scaled both safely and cheaply.…
In this paper, we extend a recently introduced multi-fidelity control variate for the uncertainty quantification of the Boltzmann equation to the case of kinetic models arising in the study of multiagent systems. For these phenomena, where…
To unbiasedly evaluate multiple target policies, the dominant approach among RL practitioners is to run and evaluate each target policy separately. However, this evaluation method is far from efficient because samples are not shared across…
We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (SDEs). Our method integrates a primary fine-time-step…
We derive a policy gradient theorem for Cumulative Prospect Theory (CPT) objectives in finite-horizon Reinforcement Learning (RL), generalizing the standard policy gradient theorem and encompassing distortion-based risk objectives as…
In many applications, we have access to the complete dataset but are only interested in the prediction of a particular region of predictor variables. A standard approach is to find the globally best modeling method from a set of candidate…
We present and analyze several strategies for improving the performance of stochastic variance-reduced gradient (SVRG) methods. We first show that the convergence rate of these methods can be preserved under a decreasing sequence of errors…
Curriculum learning techniques are a viable solution for improving the accuracy of automatic models, by replacing the traditional random training with an easy-to-hard strategy. However, the standard curriculum methodology does not…
For linear models that may have asymmetric errors, we study variable selection by cross-validation. The data are split into training and validation sets, with the number of observations in the validation set much larger than in the training…
Variational Bayes (VB) is a recent approximate method for Bayesian inference. It has the merit of being a fast and scalable alternative to Markov Chain Monte Carlo (MCMC) but its approximation error is often unknown. In this paper, we…
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…
Brute force cross-validation (CV) is a method for predictive assessment and model selection that is general and applicable to a wide range of Bayesian models. Naive or `brute force' CV approaches are often too computationally costly for…
This paper studies the problem of data collection for policy evaluation in Markov decision processes (MDPs). In policy evaluation, we are given a target policy and asked to estimate the expected cumulative reward it will obtain in an…
A general methodology is introduced for the construction and effective application of control variates to estimation problems involving data from reversible MCMC samplers. We propose the use of a specific class of functions as control…
Though deep reinforcement learning (DRL) has obtained substantial success, it may encounter catastrophic failures due to the intrinsic uncertainty of both transition and observation. Most of the existing methods for safe reinforcement…