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Having a perfect model to compute the optimal policy is often infeasible in reinforcement learning. It is important in high-stakes domains to quantify and manage risk induced by model uncertainties. Entropic risk measure is an exponential…
Transfer reinforcement learning aims to derive a near-optimal policy for a target environment with limited data by leveraging abundant data from related source domains. However, it faces two key challenges: the lack of performance…
We study the problem of offline policy optimization in stochastic contextual bandit problems, where the goal is to learn a near-optimal policy based on a dataset of decision data collected by a suboptimal behavior policy. Rather than making…
Despite the empirical success of the actor-critic algorithm, its theoretical understanding lags behind. In a broader context, actor-critic can be viewed as an online alternating update algorithm for bilevel optimization, whose convergence…
The oscillating performance of off-policy learning and persisting errors in the actor-critic (AC) setting call for algorithms that can conservatively learn to suit the stability-critical applications better. In this paper, we propose a…
We study stochastic structured bandits for minimizing regret. The fact that the popular optimistic algorithms do not achieve the asymptotic instance-dependent regret optimality (asymptotic optimality for short) has recently alluded…
We consider online sequential decision problems where an agent must balance exploration and exploitation. We derive a set of Bayesian `optimistic' policies which, in the stochastic multi-armed bandit case, includes the Thompson sampling…
Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal…
Recent advance in deep offline reinforcement learning (RL) has made it possible to train strong robotic agents from offline datasets. However, depending on the quality of the trained agents and the application being considered, it is often…
We study the offline reinforcement learning (offline RL) problem, where the goal is to learn a reward-maximizing policy in an unknown Markov Decision Process (MDP) using the data coming from a policy $\mu$. In particular, we consider the…
The Centralized Training with Decentralized Execution (CTDE) paradigm is widely used in cooperative multi-agent reinforcement learning. However, conventional methods based on CTDE can suffer from value underestimation and converge to…
This paper tackles the challenge of learning non-Markovian optimal execution strategies in dynamic financial markets. We introduce a novel actor-critic algorithm based on Deep Deterministic Policy Gradient (DDPG) to address this issue, with…
This work investigates the formal policy synthesis of continuous-state stochastic dynamic systems given high-level specifications in linear temporal logic. To learn an optimal policy that maximizes the satisfaction probability, we take a…
In a sequential decision-making problem, off-policy evaluation estimates the expected cumulative reward of a target policy using logged trajectory data generated from a different behavior policy, without execution of the target policy.…
Off-policy learning exhibits greater instability when compared to on-policy learning in reinforcement learning (RL). The difference in probability distribution between the target policy ($\pi$) and the behavior policy (b) is a major cause…
Reinforcement learning algorithms are typically geared towards optimizing the expected return of an agent. However, in many practical applications, low variance in the return is desired to ensure the reliability of an algorithm. In this…
Learning complex robot behavior through interactions with the environment necessitates principled exploration. Effective strategies should prioritize exploring regions of the state-action space that maximize rewards, with optimistic…
Reinforcement Learning (RL) has been shown effective in domains where the agent can learn policies by actively interacting with its operating environment. However, if we change the RL scheme to offline setting where the agent can only…
Policy gradient methods are powerful reinforcement learning algorithms and have been demonstrated to solve many complex tasks. However, these methods are also data-inefficient, afflicted with high variance gradient estimates, and frequently…
Reinforcement learning algorithms are known to be sample inefficient, and often performance on one task can be substantially improved by leveraging information (e.g., via pre-training) on other related tasks. In this work, we propose a…