Related papers: On Connections between Constrained Optimization an…

The pursuit of robustness has recently been a popular topic in reinforcement learning (RL) research, yet the existing methods generally suffer from efficiency issues that obstruct their real-world implementation. In this paper, we introduce…

Instability and slowness are two main problems in deep reinforcement learning. Even if proximal policy optimization (PPO) is the state of the art, it still suffers from these two problems. We introduce an improved algorithm based on…

This work studies reinforcement learning (RL) in the context of multi-period supply chains subject to constraints, e.g., on production and inventory. We introduce Distributional Constrained Policy Optimization (DCPO), a novel approach for…

Mirror descent (MD) is a powerful first-order optimization technique that subsumes several optimization algorithms including gradient descent (GD). In this work, we develop a semi-definite programming (SDP) framework to analyze the…

Reinforcement learning (RL) problems are fundamental in online decision-making and have been instrumental in finding an optimal policy for Markov decision processes (MDPs). Function approximations are usually deployed to handle large or…

General purpose intelligent learning agents cycle through (complex,non-MDP) sequences of observations, actions, and rewards. On the other hand, reinforcement learning is well-developed for small finite state Markov Decision Processes…

Recent work has shown how to embed differentiable optimization problems (that is, problems whose solutions can be backpropagated through) as layers within deep learning architectures. This method provides a useful inductive bias for certain…

Random projection algorithm is an iterative gradient method with random projections. Such an algorithm is of interest for constrained optimization when the constraint set is not known in advance or the projection operation on the whole…

In standard reinforcement learning (RL), a learning agent seeks to optimize the overall reward. However, many key aspects of a desired behavior are more naturally expressed as constraints. For instance, the designer may want to limit the…

We design a new iterative algorithm, called REINFORCE-OPT, for solving a general type of optimization problems. This algorithm parameterizes the solution search rule and iteratively updates the parameter using a reinforcement learning (RL)…

There are two primary approaches to solving Markov decision problems (MDPs): dynamic programming based on the Bellman equation and linear programming (LP). Dynamic programming methods are the most widely used and form the foundation of both…

In this paper, we study the distributionally robust joint chance constrained Markov decision process. {Utilizing the logarithmic transformation technique,} we derive its deterministic reformulation with bi-convex terms under the…

While traditional Deep Learning (DL) optimization methods treat all training samples equally, Distributionally Robust Optimization (DRO) adaptively assigns importance weights to different samples. However, a significant gap exists between…

In this paper, we study the learning of safe policies in the setting of reinforcement learning problems. This is, we aim to control a Markov Decision Process (MDP) of which we do not know the transition probabilities, but we have access to…

In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such problems is constrained Markov decision process (CMDP). When…

We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic…

Finding optimal policies which maximize long term rewards of Markov Decision Processes requires the use of dynamic programming and backward induction to solve the Bellman optimality equation. However, many real-world problems require…

Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…

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…

In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account \emph{risk}, i.e., increased awareness of events of small probability and high consequences. Accordingly, the…