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We show that adversarial reinforcement learning (ARL) can be used to produce market marking agents that are robust to adversarial and adaptively-chosen market conditions. To apply ARL, we turn the well-studied single-agent model of…

Trading and Market Microstructure · Quantitative Finance 2020-07-09 Thomas Spooner , Rahul Savani

Cooperative multi-agent reinforcement learning (cMARL) has many real applications, but the policy trained by existing cMARL algorithms is not robust enough when deployed. There exist also many methods about adversarial attacks on the RL…

Artificial Intelligence · Computer Science 2022-08-09 Yizheng Hu , Zhihua Zhang

Reinforcement learning agents are prone to undesired behaviors due to reward mis-specification. Finding a set of reward functions to properly guide agent behaviors is particularly challenging in multi-agent scenarios. Inverse reinforcement…

Machine Learning · Computer Science 2019-08-01 Lantao Yu , Jiaming Song , Stefano Ermon

Adversarial inverse reinforcement learning (AIRL) stands as a cornerstone approach in imitation learning, yet it faces criticisms from prior studies. In this paper, we rethink AIRL and respond to these criticisms. Criticism 1 lies in…

Machine Learning · Computer Science 2024-10-29 Yangchun Zhang , Qiang Liu , Weiming Li , Yirui Zhou

In real-world scenarios, risk-averse learning is valuable for mitigating potential adverse outcomes. However, the delayed feedback makes it challenging to assess and manage risk effectively. In this paper, we investigate risk-averse…

Machine Learning · Computer Science 2025-08-06 Siyi Wang , Zifan Wang , Karl Henrik Johansson , Sandra Hirche

Recent studies reveal that a well-trained deep reinforcement learning (RL) policy can be particularly vulnerable to adversarial perturbations on input observations. Therefore, it is crucial to train RL agents that are robust against any…

Machine Learning · Computer Science 2022-10-13 Yongyuan Liang , Yanchao Sun , Ruijie Zheng , Furong Huang

Most of the existing generative adversarial networks (GAN) for text generation suffer from the instability of reinforcement learning training algorithms such as policy gradient, leading to unstable performance. To tackle this problem, we…

Computation and Language · Computer Science 2019-08-21 Pei Ke , Fei Huang , Minlie Huang , Xiaoyan Zhu

Modern algorithms in the domain of Deep Reinforcement Learning (DRL) demonstrated remarkable successes; most widely known are those in game-based scenarios, from ATARI video games to Go and the StarCraft~\textsc{II} real-time strategy game.…

Artificial Intelligence · Computer Science 2020-05-29 Eric MSP Veith , Nils Wenninghoff , Emilie Frost

Contrastive Reinforcement Learning (CRL) provides a promising framework for extracting useful structured representations from unlabeled interactions. By pulling together state-action pairs and their corresponding future states, while…

Robotics · Computer Science 2025-07-23 Arsh Tangri , Nichols Crawford Taylor , Haojie Huang , Robert Platt

Current approximate Coarse Correlated Equilibria (CCE) algorithms struggle with equilibrium approximation for games in large stochastic environments but are theoretically guaranteed to converge to a strong solution concept. In contrast,…

Machine Learning · Computer Science 2024-12-04 Ryan Yu , Mateusz Nowak , Qintong Xie , Michelle Yilin Feng , Peter Chin

Reinforcement learning (RL) is a machine learning approach that trains agents to maximize cumulative rewards through interactions with environments. The integration of RL with deep learning has recently resulted in impressive achievements…

Neural and Evolutionary Computing · Computer Science 2023-08-31 Hui Bai , Ran Cheng , Yaochu Jin

While deep reinforcement learning has achieved tremendous successes in various applications, most existing works only focus on maximizing the expected value of total return and thus ignore its inherent stochasticity. Such stochasticity is…

Machine Learning · Computer Science 2023-09-19 Han Zhong , Xun Deng , Ethan X. Fang , Zhuoran Yang , Zhaoran Wang , Runze Li

Autonomous vehicle (AV) evaluation has been the subject of increased interest in recent years both in industry and in academia. This paper focuses on the development of a novel framework for generating adversarial driving behavior of…

Artificial Intelligence · Computer Science 2023-10-17 Zhen Liu , Hang Gao , Hao Ma , Shuo Cai , Yunfeng Hu , Ting Qu , Hong Chen , Xun Gong

We propose a convex formulation for a trading system with the Conditional Value-at-Risk as a risk-adjusted performance measure under the notion of Direct Reinforcement Learning. Due to convexity, the proposed approach can uncover a…

Trading and Market Microstructure · Quantitative Finance 2021-09-30 Ali Al-Ameer , Khaled Alshehri

Model-based offline Reinforcement Learning (RL) constructs environment models from offline datasets to perform conservative policy optimization. Existing approaches focus on learning state transitions through ensemble models, rollouting…

Machine Learning · Computer Science 2025-03-27 Hongye Cao , Fan Feng , Jing Huo , Shangdong Yang , Meng Fang , Tianpei Yang , Yang Gao

Deep Reinforcement Learning (DRL) is a subfield of machine learning for training autonomous agents that take sequential actions across complex environments. Despite its significant performance in well-known environments, it remains…

We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…

Optimization and Control · Mathematics 2020-05-27 Christopher W. Miller , Insoon Yang

A significant bottleneck in applying current reinforcement learning algorithms to real-world scenarios is the need to reset the environment between every episode. This reset process demands substantial human intervention, making it…

Machine Learning · Computer Science 2024-02-20 Sang-Hyun Lee , Seung-Woo Seo

We make an important connection to existing results in econometrics to describe an alternative formulation of inverse reinforcement learning (IRL). In particular, we describe an algorithm using Conditional Choice Probabilities (CCP), which…

Artificial Intelligence · Computer Science 2017-09-25 Mohit Sharma , Kris M. Kitani , Joachim Groeger

Current value-based multi-agent reinforcement learning methods optimize individual Q values to guide individuals' behaviours via centralized training with decentralized execution (CTDE). However, such expected, i.e., risk-neutral, Q value…

Machine Learning · Computer Science 2021-03-23 Wei Qiu , Xinrun Wang , Runsheng Yu , Xu He , Rundong Wang , Bo An , Svetlana Obraztsova , Zinovi Rabinovich
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