Related papers: Policy Gradient Optimization of Thompson Sampling …

Thompson sampling has become a ubiquitous approach to online decision problems with bandit feedback. The key algorithmic task for Thompson sampling is drawing a sample from the posterior of the optimal action. We propose an alternative arm…

Likelihood-based policy gradient methods are the dominant approach for training robot control policies from rewards. These methods rely on differentiable action likelihoods, which constrain policy outputs to simple distributions like…

We consider the problem of learning the optimal threshold policy for control problems. Threshold policies make control decisions by evaluating whether an element of the system state exceeds a certain threshold, whose value is determined by…

We consider (stochastic) softmax policy gradient (PG) methods for bandits and tabular Markov decision processes (MDPs). While the PG objective is non-concave, recent research has used the objective's smoothness and gradient domination…

While many multiagent algorithms are designed for homogeneous systems (i.e. all agents are identical), there are important applications which require an agent to coordinate its actions without knowing a priori how the other agents behave.…

We study the estimation of policy gradients for continuous-time systems with known dynamics. By reframing policy learning in continuous-time, we show that it is possible construct a more efficient and accurate gradient estimator. The…

In recent years, various powerful policy gradient algorithms have been proposed in deep reinforcement learning. While all these algorithms build on the Policy Gradient Theorem, the specific design choices differ significantly across…

Policy gradient based reinforcement learning algorithms coupled with neural networks have shown success in learning complex policies in the model free continuous action space control setting. However, explicitly parameterized policies are…

We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…

We study the efficiency of Thompson sampling for contextual bandits. Existing Thompson sampling-based algorithms need to construct a Laplace approximation (i.e., a Gaussian distribution) of the posterior distribution, which is inefficient…

Thompson sampling for multi-armed bandit problems is known to enjoy favorable performance in both theory and practice. However, it suffers from a significant limitation computationally, arising from the need for samples from posterior…

We explore a stochastic contextual linear bandit problem where the agent observes a noisy, corrupted version of the true context through a noise channel with an unknown noise parameter. Our objective is to design an action policy that can…

We adapt the gradient sampling algorithm to the local scoring algorithm to solve complex estimation problems based on an optimization of an objective function. This overcomes non-differentiability and non-smoothness of the objective…

In this paper, we propose a stochastic optimization method that adaptively controls the sample size used in the computation of gradient approximations. Unlike other variance reduction techniques that either require additional storage or the…

We consider the problem of global optimization of a function over a continuous domain. In our setup, we can evaluate the function sequentially at points of our choice and the evaluations are noisy. We frame it as a continuum-armed bandit…

We study the problem of obtaining accurate policy gradient estimates using a finite number of samples. Monte-Carlo methods have been the default choice for policy gradient estimation, despite suffering from high variance in the gradient…

We study the problem of off-policy policy optimization in Markov decision processes, and develop a novel off-policy policy gradient method. Prior off-policy policy gradient approaches have generally ignored the mismatch between the…

Natural policy gradient methods are popular reinforcement learning methods that improve the stability of policy gradient methods by utilizing second-order approximations to precondition the gradient with the inverse of the…

Computing optimal control policies for complex dynamical systems requires approximation methods to remain computationally tractable. Several approximation methods have been developed to tackle this problem. However, these methods do not…

Gaussian processes are a powerful framework for quantifying uncertainty and for sequential decision-making but are limited by the requirement of solving linear systems. In general, this has a cubic cost in dataset size and is sensitive to…