Related papers: Solving optimal stopping problems with Deep Q-Lear…
This paper presents the benefits of using randomized neural networks instead of standard basis functions or deep neural networks to approximate the solutions of optimal stopping problems. The key idea is to use neural networks, where the…
We propose a systematic method based on reinforcement learning (RL) techniques to find the optimal path that can minimize the total entropy production between two equilibrium states of open systems at the same temperature in a given fixed…
Reinforcement learning in complex environments is a challenging problem. In particular, the success of reinforcement learning algorithms depends on a well-designed reward function. Inverse reinforcement learning (IRL) solves the problem of…
This paper investigates the so-called reward-balancing methods, a novel class of algorithms for solving discounted-return reinforcement learning (RL) problems. These methods consist of iteratively adjusting the reward function to transform…
This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs. The paper illustrates the approach by showing the difference between using delta hedging and…
Offline reinforcement learning (RL) has increasingly become the focus of the artificial intelligent research due to its wide real-world applications where the collection of data may be difficult, time-consuming, or costly. In this paper, we…
The optimal objective is a fundamental aspect of reinforcement learning (RL), as it determines how policies are evaluated and optimized. While total return maximization is the ideal objective in RL, discounted return maximization is the…
Reinforcement learning (RL) promises a framework for near-universal problem-solving. In practice however, RL algorithms are often tailored to specific benchmarks, relying on carefully tuned hyperparameters and algorithmic choices. Recently,…
Designing optimal controllers continues to be challenging as systems are becoming complex and are inherently nonlinear. The principal advantage of reinforcement learning (RL) is its ability to learn from the interaction with the environment…
Reinforcement learning algorithms based on Q-learning are driving Deep Reinforcement Learning (DRL) research towards solving complex problems and achieving super-human performance on many of them. Nevertheless, Q-Learning is known to be…
Q-learning methods represent a commonly used class of algorithms in reinforcement learning: they are generally efficient and simple, and can be combined readily with function approximators for deep reinforcement learning (RL). However, the…
We study the problem of safe offline reinforcement learning (RL), the goal is to learn a policy that maximizes long-term reward while satisfying safety constraints given only offline data, without further interaction with the environment.…
Reinforcement learning (RL) techniques have shown great success in many challenging quantitative trading tasks, such as portfolio management and algorithmic trading. Especially, intraday trading is one of the most profitable and risky tasks…
Reinforcement learning (RL) post-training is crucial for LLM alignment and reasoning, but existing policy-based methods, such as PPO and DPO, can fall short of fixing shortcuts inherited from pre-training. In this work, we introduce…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…
This paper explores the application of deep Q-learning to hedging at-the-money options on the S\&P~500 index. We develop an agent based on the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm, trained to simulate hedging…
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementation shortfall and market impact over an extended period of…
The core challenge of offline reinforcement learning (RL) is dealing with the (potentially catastrophic) extrapolation error induced by the distribution shift between the history dataset and the desired policy. A large portion of prior work…
With the recent prevalence of Reinforcement Learning (RL), there have been tremendous interests in utilizing RL for online advertising in recommendation platforms (e.g., e-commerce and news feed sites). However, most RL-based advertising…