Related papers: Stochastic Linear Quadratic Optimal Control Proble…
Reinforcement Learning (RL) remains a central optimisation framework in machine learning. Although RL agents can converge to optimal solutions, the definition of ``optimality'' depends on the environment's statistical properties. The…
The linear programming (LP) approach has a long history in the theory of approximate dynamic programming. When it comes to computation, however, the LP approach often suffers from poor scalability. In this work, we introduce a relaxed…
We propose a new algorithm for model-based distributional reinforcement learning (RL), and prove that it is minimax-optimal for approximating return distributions with a generative model (up to logarithmic factors), resolving an open…
Despite impressive results, reinforcement learning (RL) suffers from slow convergence and requires a large variety of tuning strategies. In this paper, we investigate the ability of RL algorithms on simple continuous control tasks. We show…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…
This paper reviews the topological groundwork for the study of reinforcement learning (RL) by focusing on the structure of state, action, and policy spaces. We begin by recalling key mathematical concepts such as complete metric spaces,…
In recent times, a variety of Reinforcement Learning (RL) algorithms have been proposed for optimal tracking problem of continuous time nonlinear systems with input constraints. Most of these algorithms are based on the notion of uniform…
One of the central questions in control theory is achieving stability through feedback control. This paper introduces a novel approach that combines Reinforcement Learning (RL) with mathematical analysis to address this challenge, with a…
One of the main goals of reinforcement learning (RL) is to provide a~way for physical machines to learn optimal behavior instead of being programmed. However, effective control of the machines usually requires fine time discretization. The…
This paper concerns the problem of learning control policies for an unknown linear dynamical system to minimize a quadratic cost function. We present a method, based on convex optimization, that accomplishes this task robustly: i.e., we…
With the rapid advance of information technology, network systems have become increasingly complex and hence the underlying system dynamics are often unknown or difficult to characterize. Finding a good network control policy is of…
This paper delves into designing stabilizing feedback control gains for continuous linear systems with unknown state matrix, in which the control is subject to a general structural constraint. We bring forth the ideas from reinforcement…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
Deep reinforcement learning (RL) algorithms can learn complex policies to optimize agent operation over time. RL algorithms have shown promising results in solving complicated problems in recent years. However, their application on…
This paper considers the problem of real-time control and learning in dynamic systems subjected to parametric uncertainties. We propose a combination of a Reinforcement Learning (RL) based policy in the outer loop suitably chosen to ensure…
We propose a reinforcement learning (RL) approach to model optimal exercise strategies for option-type products. We pursue the RL avenue in order to learn the optimal action-value function of the underlying stopping problem. In addition to…
We present an empirical study on the use of continual learning (CL) methods in a reinforcement learning (RL) scenario, which, to the best of our knowledge, has not been described before. CL is a very active recent research topic concerned…