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We consider reinforcement learning (RL) in episodic MDPs with adversarial full-information reward feedback and unknown fixed transition kernels. We propose two model-free policy optimization algorithms, POWER and POWER++, and establish…
Strong worst-case performance bounds for episodic reinforcement learning exist but fortunately in practice RL algorithms perform much better than such bounds would predict. Algorithms and theory that provide strong problem-dependent bounds…
In this paper the minmax (regret) versions of some basic polynomially solvable deterministic network problems are discussed. It is shown that if the number of scenarios is unbounded, then the problems under consideration are not…
We consider the problem of computing an equilibrium in a class of \textit{nonlinear generalized Nash equilibrium problems (NGNEPs)} in which the strategy sets for each player are defined by equality and inequality constraints that may…
Motivated by applications in service systems, we consider queueing systems where each customer must be handled by a server with the right skill set. We focus on optimizing the routing of customers to servers in order to maximize the total…
In the Network Revenue Management (NRM) problem, products composed of up to L resources are sold to stochastically arriving customers. We take a randomized rounding approach to NRM, motivated by the modern tool of Online Contention…
Risk limiting dispatch (RLD) has been proposed as an approach that effectively trades off economic costs with operational risks for power dispatch under uncertainty. However, how to solve the RLD problem with provably near-optimal…
We study reinforcement learning for episodic Markov Decision Processes (MDPs) whose transitions are modelled by a multinomial logistic (MNL) model. Existing algorithms for MNL mixture MDPs yield a regret of $\smash{\tilde{O}(dH^2\sqrt{T})}$…
The growing amount of applications that generate vast amount of data in short time scales render the problem of partial monitoring, coupled with prediction, a rather fundamental one. We study the aforementioned canonical problem under the…
We develop a model selection approach to tackle reinforcement learning with adversarial corruption in both transition and reward. For finite-horizon tabular MDPs, without prior knowledge on the total amount of corruption, our algorithm…
The relaxed optimal $k$-thresholding pursuit (ROTP) is a recent algorithm for linear inverse problems. This algorithm is based on the optimal $k$-thresholding technique which performs vector thresholding and error metric reduction…
Discrete time stochastic optimal control problems and Markov decision processes (MDPs) are fundamental models for sequential decision-making under uncertainty and as such provide the mathematical framework underlying reinforcement learning…
To overcome the curses of dimensionality and modeling of Dynamic Programming (DP) methods to solve Markov Decision Process (MDP) problems, Reinforcement Learning (RL) methods are adopted in practice. Contrary to traditional RL algorithms…
Deep neural networks (DNNs) have been used to model complex optimization problems in many applications, yet have difficulty guaranteeing solution optimality and feasibility, despite training on large datasets. Training a NN as a surrogate…
Stochastic shortest path (SSP) is a well-known problem in planning and control, in which an agent has to reach a goal state in minimum total expected cost. In the learning formulation of the problem, the agent is unaware of the environment…
In this paper, we study fundamental problems of maximizing DR-submodular continuous functions that have real-world applications in the domain of machine learning, economics, operations research and communication systems. It captures a…
We study the problem of infinite-horizon average-reward reinforcement learning with linear Markov decision processes (MDPs). The associated Bellman operator of the problem not being a contraction makes the algorithm design challenging.…
Any reinforcement learning algorithm that applies to all Markov decision processes (MDPs) will suffer $\Omega(\sqrt{SAT})$ regret on some MDP, where $T$ is the elapsed time and $S$ and $A$ are the cardinalities of the state and action…
The Joint Replenishment Problem (JRP) is a fundamental optimization problem in supply-chain management, concerned with optimizing the flow of goods from a supplier to retailers. Over time, in response to demands at the retailers, the…
This paper considers decentralized consensus optimization problems where nodes of a network have access to different summands of a global objective function. Nodes cooperate to minimize the global objective by exchanging information with…