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We propose a framework for ensuring safe behavior of a reinforcement learning agent when the reward function may be difficult to specify. In order to do this, we rely on the existence of demonstrations from expert policies, and we provide a…

Machine Learning · Computer Science 2018-11-22 Jessie Huang , Fa Wu , Doina Precup , Yang Cai

Iterative trajectory optimization techniques for non-linear dynamical systems are among the most powerful and sample-efficient methods of model-based reinforcement learning and approximate optimal control. By leveraging time-variant local…

Systems and Control · Electrical Eng. & Systems 2019-08-01 Onur Celik , Hany Abdulsamad , Jan Peters

In this paper, we present an online reinforcement learning algorithm for constrained Markov decision processes with a safety constraint. Despite the necessary attention of the scientific community, considering stochastic stopping time, the…

Machine Learning · Computer Science 2024-03-26 Abhijit Mazumdar , Rafal Wisniewski , Manuela L. Bujorianu

We consider the task of estimating a structural model of dynamic decisions by a human agent based upon the observable history of implemented actions and visited states. This problem has an inherent nested structure: in the inner problem, an…

Machine Learning · Computer Science 2024-03-04 Siliang Zeng , Mingyi Hong , Alfredo Garcia

Although Reinforcement Learning (RL) algorithms have found tremendous success in simulated domains, they often cannot directly be applied to physical systems, especially in cases where there are hard constraints to satisfy (e.g. on safety…

Machine Learning · Computer Science 2020-08-28 Harsh Satija , Philip Amortila , Joelle Pineau

This study investigates the development of an optimal execution strategy through reinforcement learning, aiming to determine the most effective approach for traders to buy and sell inventory within a finite time horizon. Our proposed model…

Trading and Market Microstructure · Quantitative Finance 2025-11-04 Yadh Hafsi , Edoardo Vittori

In current model-free reinforcement learning (RL) algorithms, stability criteria based on sampling methods are commonly utilized to guide policy optimization. However, these criteria only guarantee the infinite-time convergence of the…

Robotics · Computer Science 2023-10-16 Shengjie Wang , Fengbo Lan , Xiang Zheng , Yuxue Cao , Oluwatosin Oseni , Haotian Xu , Tao Zhang , Yang Gao

In this paper, we develop a rigorous optimal control-theoretic approach to Transformer training that respects key structural constraints such as (i) realized-input-independence during execution, (ii) the ensemble control nature of the…

Machine Learning · Computer Science 2026-03-11 Kağan Akman , Naci Saldı , Serdar Yüksel

Large Language Models (LLMs) trained with reinforcement learning and verifiable rewards have achieved strong results on complex reasoning tasks. Recent work extends this paradigm to a multi-agent setting, where a meta-thinking agent…

Artificial Intelligence · Computer Science 2025-11-05 Zhiwei Zhang , Xiaomin Li , Yudi Lin , Hui Liu , Ramraj Chandradevan , Linlin Wu , Minhua Lin , Fali Wang , Xianfeng Tang , Qi He , Suhang Wang

Time-inconsistency is a characteristic of human behavior in which people plan for long-term benefits but take actions that differ from the plan due to conflicts with short-term benefits. Such time-inconsistent behavior is believed to be…

Computer Science and Game Theory · Computer Science 2025-01-15 Yasunori Akagi , Naoki Marumo , Takeshi Kurashima

We propose and study a general framework for regularized Markov decision processes (MDPs) where the goal is to find an optimal policy that maximizes the expected discounted total reward plus a policy regularization term. The extant…

Machine Learning · Statistics 2019-10-22 Xiang Li , Wenhao Yang , Zhihua Zhang

This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entropy regularization where the agent randomizes both the timing…

Optimization and Control · Mathematics 2025-12-23 Yijie Huang , Mengge Li , Xiang Yu , Zhou Zhou

The measurement of time is central to intelligent behavior. We know that both animals and artificial agents can successfully use temporal dependencies to select actions. In artificial agents, little work has directly addressed (1) which…

Machine Learning · Computer Science 2019-12-10 Ben Deverett , Ryan Faulkner , Meire Fortunato , Greg Wayne , Joel Z. Leibo

We study the emergence of cooperative behaviors in reinforcement learning agents by introducing a challenging competitive multi-agent soccer environment with continuous simulated physics. We demonstrate that decentralized, population-based…

Artificial Intelligence · Computer Science 2021-05-21 Siqi Liu , Guy Lever , Josh Merel , Saran Tunyasuvunakool , Nicolas Heess , Thore Graepel

We consider the problem of how strategic users with asymmetric information can learn an underlying time varying state in a user-recommendation system. Users who observe private signals about the state, sequentially make a decision about…

Computer Science and Game Theory · Computer Science 2018-04-17 Deepanshu Vasal , Vijay Subramanian , Achilleas Anastasopoulos

We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…

Trading and Market Microstructure · Quantitative Finance 2018-03-16 Charles-Albert Lehalle , Othmane Mounjid , Mathieu Rosenbaum

We consider a two-road dynamic routing game where the state of one of the roads (the "risky road") is stochastic and may change over time. This generates room for experimentation. A central planner may wish to induce some of the (finite…

Computer Science and Game Theory · Computer Science 2020-01-13 Emily Meigs , Francesca Parise , Asuman Ozdaglar , Daron Acemoglu

The problem of reinforcement learning is considered where the environment or the model undergoes a change. An algorithm is proposed that an agent can apply in such a problem to achieve the optimal long-time discounted reward. The algorithm…

Systems and Control · Electrical Eng. & Systems 2023-04-25 Wuxia Chen , Taposh Banerjee , Jemin George , Carl Busart

In this paper, we propose a principled deep reinforcement learning (RL) approach that is able to accelerate the convergence rate of general deep neural networks (DNNs). With our approach, a deep RL agent (synonym for optimizer in this work)…

Machine Learning · Computer Science 2017-07-14 Jie Fu

We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies…

Mathematical Finance · Quantitative Finance 2021-07-15 Yu-Jui Huang , Adrien Nguyen-Huu , Xun Yu Zhou