Related papers: Constrained Upper Confidence Reinforcement Learnin…
Reinforcement Learning (RL) has achieved tremendous success in recent years. However, the classical foundations of RL do not account for the risk sensitivity of the objective function, which is critical in various fields, including…
We consider the reinforcement learning problem for the constrained Markov decision process (CMDP), which plays a central role in satisfying safety or resource constraints in sequential learning and decision-making. In this problem, we are…
In coming up with solutions to real-world problems, humans implicitly adhere to constraints that are too numerous and complex to be specified completely. However, reinforcement learning (RL) agents need these constraints to learn the…
We consider online learning for minimizing regret in unknown, episodic Markov decision processes (MDPs) with continuous states and actions. We develop variants of the UCRL and posterior sampling algorithms that employ nonparametric Gaussian…
The optimized certainty equivalent (OCE) is a family of risk measures that cover important examples such as entropic risk, conditional value-at-risk and mean-variance models. In this paper, we propose a new episodic risk-sensitive…
In this paper, we study reinforcement learning in Markov Decision Processes with Probabilistic Reward Machines (PRMs), a form of non-Markovian reward commonly found in robotics tasks. We design an algorithm for PRMs that achieves a regret…
We study learning in periodic Markov Decision Process(MDP), a special type of non-stationary MDP where both the state transition probabilities and reward functions vary periodically, under the average reward maximization setting. We…
Humans achieve efficient learning by relying on prior knowledge about the structure of naturally occurring tasks. There is considerable interest in designing reinforcement learning (RL) algorithms with similar properties. This includes…
We consider the problem of online learning where the sequence of actions played by the learner must adhere to an unknown safety constraint at every round. The goal is to minimize regret with respect to the best safe action in hindsight…
Constrained Markov decision processes (CMDPs) model scenarios of sequential decision making with multiple objectives that are increasingly important in many applications. However, the model is often unknown and must be learned online while…
Reinforcement learning algorithms typically assume rewards to be sampled from light-tailed distributions, such as Gaussian or bounded. However, a wide variety of real-world systems generate rewards that follow heavy-tailed distributions. We…
Reward-free exploration is a reinforcement learning setting studied by Jin et al. (2020), who address it by running several algorithms with regret guarantees in parallel. In our work, we instead give a more natural adaptive approach for…
We study risk-sensitive RL where the goal is learn a history-dependent policy that optimizes some risk measure of cumulative rewards. We consider a family of risks called the optimized certainty equivalents (OCE), which captures important…
This paper studies the problem of Anytime-Competitive Markov Decision Process (A-CMDP). Existing works on Constrained Markov Decision Processes (CMDPs) aim to optimize the expected reward while constraining the expected cost over random…
Modern tasks in reinforcement learning have large state and action spaces. To deal with them efficiently, one often uses predefined feature mapping to represent states and actions in a low-dimensional space. In this paper, we study…
Constraint handling plays a key role in solving realistic complex optimization problems. Though intensively discussed in the last few decades, existing constraint handling techniques predominantly rely on human experts' designs, which more…
Reinforcement Learning (RL) has gained substantial attention across diverse application domains and theoretical investigations. Existing literature on RL theory largely focuses on risk-neutral settings where the decision-maker learns to…
Constrained Markov decision processes (CMDPs) are a common way to model safety constraints in reinforcement learning. State-of-the-art methods for efficiently solving CMDPs are based on primal-dual algorithms. For these algorithms, all…
In many applications of Reinforcement Learning (RL), it is critically important that the algorithm performs safely, such that instantaneous hard constraints are satisfied at each step, and unsafe states and actions are avoided. However,…
We study the regret guarantee for risk-sensitive reinforcement learning (RSRL) via distributional reinforcement learning (DRL) methods. In particular, we consider finite episodic Markov decision processes whose objective is the entropic…