Related papers: Reinforcement Learning with Expert Trajectory For …
We study inverse reinforcement learning (IRL) and imitation learning (IM), the problems of recovering a reward or policy function from expert's demonstrated trajectories. We propose a new way to improve the learning process by adding a…
Many real-world auctions are dynamic processes, in which bidders interact and report information over multiple rounds with the auctioneer. The sequential decision making aspect paired with imperfect information renders analyzing the…
The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in…
Informed and robust decision making in the face of uncertainty is critical for robots that perform physical tasks alongside people. We formulate this as Bayesian Reinforcement Learning over latent Markov Decision Processes (MDPs). While…
We propose a general framework for entropy-regularized average-reward reinforcement learning in Markov decision processes (MDPs). Our approach is based on extending the linear-programming formulation of policy optimization in MDPs to…
In this paper, we provide two new stable online algorithms for the problem of prediction in reinforcement learning, \emph{i.e.}, estimating the value function of a model-free Markov reward process using the linear function approximation…
In this paper we consider the basic version of Reinforcement Learning (RL) that involves computing optimal data driven (adaptive) policies for Markovian decision process with unknown transition probabilities. We provide a brief survey of…
The problem of how to take the right actions to make profits in sequential process continues to be difficult due to the quick dynamics and a significant amount of uncertainty in many application scenarios. In such complicated environments,…
Personalization in machine learning (ML) tailors models' decisions to the individual characteristics of users. While this approach has seen success in areas like recommender systems, its expansion into high-stakes fields such as healthcare…
We consider online learning for episodic stochastically constrained Markov decision processes (CMDPs), which plays a central role in ensuring the safety of reinforcement learning. Here the loss function can vary arbitrarily across the…
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and Mixture of Score Machines (MSM)),…
We study reinforcement learning for the optimal control of Branching Markov Decision Processes (BMDPs), a natural extension of (multitype) Branching Markov Chains (BMCs). The state of a (discrete-time) BMCs is a collection of entities of…
In this paper, a review of model-free reinforcement learning for learning of dynamical systems in uncertain environments has discussed. For this purpose, the Markov Decision Process (MDP) will be reviewed. Furthermore, some learning…
Reinforcement learning (RL) has successfully automated the complex process of mining formulaic alpha factors, for creating interpretable and profitable investment strategies. However, existing methods are hampered by the sparse rewards…
Traffic signal control is an important problem in urban mobility with a significant potential of economic and environmental impact. While there is a growing interest in Reinforcement Learning (RL) for traffic signal control, the work so far…
Reinforcement learning has been widely applied in automated bidding. Traditional approaches model bidding as a Markov Decision Process (MDP). Recently, some studies have explored using generative reinforcement learning methods to address…
Designing sample-efficient and computationally feasible reinforcement learning (RL) algorithms is particularly challenging in environments with large or infinite state and action spaces. In this paper, we advance this effort by presenting…
The deployment of autonomous AI agents in derivatives markets has widened a practical gap between static model calibration and realized hedging outcomes. We introduce two reinforcement learning frameworks, a novel Replication Learning of…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
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…