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We propose a general framework for entropy-regularized average-reward reinforcement learning in Markov decision processes (MDPs). Our approach is based on extending the linear-programming formulation of policy optimization in MDPs to…
We present a learning model predictive control (MPC) scheme for chance-constrained Markov jump systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for…
Reinforcement learning (RL) is currently one of the most prominent methods for optimizing dynamical systems, with breakthrough results across various fields. The framework is based on the concept of a Markov decision process (MDP), leading…
Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…
We develop an exactly solvable framework of Markov decision process with a finite horizon, and continuous state and action spaces. We first review the exact solution of conventional linear quadratic regulation with a linear transition and a…
We revisit the finite time analysis of policy gradient methods in the one of the simplest settings: finite state and action MDPs with a policy class consisting of all stochastic policies and with exact gradient evaluations. There has been…
In this work we study the convergence of gradient methods for nonconvex optimization problems -- specifically the effect of the problem formulation to the convergence behavior of the solution of a gradient flow. We show through a simple…
The linear quadratic regulator is the fundamental problem of optimal control. Its state feedback version was set and solved in the early 1960s. However the static output feedback problem has no explicit-form solution. It is suggested to…
Microgrids have more operational flexibilities as well as uncertainties than conventional power grids, especially when renewable energy resources are utilized. An energy storage based feedback controller can compensate undesired dynamics of…
This paper studies the adaptive optimal stationary control of continuous-time linear stochastic systems with both additive and multiplicative noises, using reinforcement learning techniques. Based on policy iteration, a novel off-policy…
The goal of this paper is to present a method for simultaneous trajectory and local stabilizing policy optimization to generate local policies for trajectory-centric model-based reinforcement learning (MBRL). This is motivated by the fact…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
The goal of this paper is to analyze distributional Markov Decision Processes as a class of control problems in which the objective is to learn policies that steer the distribution of a cumulative reward toward a prescribed target law,…
Reinforcement learning with multinomial logistic (MNL) function approximation has become an important framework due to its flexibility and broad applicability. While existing studies have established regret guarantees under worst-case…
This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…
This paper presents a general description of a parameter estimation inverse problem for systems governed by nonlinear differential equations. The inverse problem is presented using optimal control tools with state constraints, where the…
Policy gradient methods are a powerful family of reinforcement learning algorithms for continuous control that optimize a policy directly. However, standard first-order methods often converge slowly. Second-order methods can accelerate…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
We study the pointwise stabilizability of a discrete-time, time-homogeneous, and stationary Markovian jump linear system. By using measure theory, ergodic theory and a splitting theorem of state space we show in a relatively simple way that…