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We study the trade-offs between convergence rate and robustness to gradient errors in designing a first-order algorithm. We focus on gradient descent (GD) and accelerated gradient (AG) methods for minimizing strongly convex functions when…
We show for several computational problems how classical greedy algorithms for special cases can be derived in a simple way from dynamic programs for the general case: interval scheduling (restricted to unit weights), knapsack (restricted…
In many prediction problems, it is not uncommon that the number of variables used to construct a forecast is of the same order of magnitude as the sample size, if not larger. We then face the problem of constructing a prediction in the…
Bayesian Reinforcement Learning (RL) is capable of not only incorporating domain knowledge, but also solving the exploration-exploitation dilemma in a natural way. As Bayesian RL is intractable except for special cases, previous work has…
Two-time-scale stochastic approximation is a popular iterative method for finding the solution of a system of two equations. Such methods have found broad applications in many areas, especially in machine learning and reinforcement…
In this paper, two Q-learning (QL) methods are proposed and their convergence theories are established for addressing the model-free optimal control problem of general nonlinear continuous-time systems. By introducing the Q-function for…
We study the fundamental problem of selecting optimal features for model construction. This problem is computationally challenging on large datasets, even with the use of greedy algorithm variants. To address this challenge, we extend the…
In this paper, we study greedy variants of quasi-Newton methods. They are based on the updating formulas from a certain subclass of the Broyden family. In particular, this subclass includes the well-known DFP, BFGS and SR1 updates. However,…
Reinforcement Learning (RL) has emerged as a powerful framework for sequential decision-making in dynamic environments, particularly when system parameters are unknown. This paper investigates RL-based control for entropy-regularized…
We pursue a life-long learning approach to artificial intelligence that makes extensive use of reinforcement learning algorithms. We build on our prior work with general value functions (GVFs) and the Horde architecture. GVFs have been…
Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes the core and fundamental topic in reinforcement learning (RL), especially under non-episodic situations where online learning…
Variance reduction techniques have been successfully applied to temporal-difference (TD) learning and help to improve the sample complexity in policy evaluation. However, the existing work applied variance reduction to either the less…
The greedy strategy is an approximation algorithm to solve optimization problems arising in decision making with multiple actions. How good is the greedy strategy compared to the optimal solution? In this survey, we mainly consider two…
Actor-critic style two-time-scale algorithms are one of the most popular methods in reinforcement learning, and have seen great empirical success. However, their performance is not completely understood theoretically. In this paper, we…
Offline reinforcement learning is important in domains such as medicine, economics, and e-commerce where online experimentation is costly, dangerous or unethical, and where the true model is unknown. However, most methods assume all…
The problem of selecting a small-size representative summary of a large dataset is a cornerstone of machine learning, optimization and data science. Motivated by applications to recommendation systems and other scenarios with query-limited…
Inverse imaging problems rely on limited and indirect measurements, making reconstruction highly dependent on both regularization and sample locations. We introduce a novel greedy framework for the optimal selection of indirect measurements…
Motivated by the emerging use of multi-agent reinforcement learning (MARL) in engineering applications such as networked robotics, swarming drones, and sensor networks, we investigate the policy evaluation problem in a fully decentralized…
This paper introduces Greedy UnMix (GUM) for cooperative multi-agent reinforcement learning (MARL). Greedy UnMix aims to avoid scenarios where MARL methods fail due to overestimation of values as part of the large joint state-action space.…
Euclidean Markov decision processes are a powerful tool for modeling control problems under uncertainty over continuous domains. Finite state imprecise, Markov decision processes can be used to approximate the behavior of these infinite…