Related papers: Deep Reinforcement Learning for Online Control of …
Queuing network control is essential for managing congestion in job-processing systems such as service systems, communication networks, and manufacturing processes. Despite growing interest in applying reinforcement learning (RL)…
As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic…
Developing efficient numerical algorithms for the solution of high dimensional random Partial Differential Equations (PDEs) has been a challenging task due to the well-known curse of dimensionality. We present a new solution framework for…
This paper considers a stochastic linear quadratic problem for discrete-time systems with multiplicative noises over an infinite horizon. To obtain the optimal solution, we propose an online iterative algorithm of reinforcement learning…
In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can be formulated as time-continuous or time-discrete forward-backward stochastic…
Due to the sparse rewards and high degree of environment variation, reinforcement learning approaches such as Deep Deterministic Policy Gradient (DDPG) are plagued by issues of high variance when applied in complex real world environments.…
The coupling of deep reinforcement learning to numerical flow control problems has recently received a considerable attention, leading to groundbreaking results and opening new perspectives for the domain. Due to the usually high…
Linear dynamical systems that obey stochastic differential equations are canonical models. While optimal control of known systems has a rich literature, the problem is technically hard under model uncertainty and there are hardly any…
We introduce a sample-efficient method for learning state-dependent stiffness control policies for dexterous manipulation. The ability to control stiffness facilitates safe and reliable manipulation by providing compliance and robustness to…
In many scientific fields, the generation and evolution of data are governed by partial differential equations (PDEs) which are typically informed by established physical laws at the macroscopic level to describe general and predictable…
Stochastic differential equations (SDEs) are used to describe a wide variety of complex stochastic dynamical systems. Learning the hidden physics within SDEs is crucial for unraveling fundamental understanding of these systems' stochastic…
We present a deep learning emulator for stochastic and chaotic spatio-temporal systems, explicitly conditioned on the parameter values of the underlying partial differential equations (PDEs). Our approach involves pre-training the model on…
This paper addresses distributional offline continuous-time reinforcement learning (DOCTR-L) with stochastic policies for high-dimensional optimal control. A soft distributional version of the classical Hamilton-Jacobi-Bellman (HJB)…
Specifying a governing physical model in the presence of missing physics and recovering its parameters are two intertwined and fundamental problems in science. Modern machine learning allows one to circumvent these, via emulators and…
Reinforcement learning suffers from limitations in real practices primarily due to the number of required interactions with virtual environments. It results in a challenging problem because we are implausible to obtain a local optimal…
In optimal control problem, policy iteration (PI) is a powerful reinforcement learning (RL) tool used for designing optimal controller for the linear systems. However, the need for an initial stabilizing control policy significantly limits…
This paper presents sufficient conditions for the convergence of online estimation methods and the stability of adaptive control strategies for a class of history dependent, functional differential equations. The study is motivated by the…
This paper presents advanced techniques of training diffusion policies for offline reinforcement learning (RL). At the core is a mean-reverting stochastic differential equation (SDE) that transfers a complex action distribution into a…
In this paper, we design a controller for an interconnected system consisting of a linear Stochastic Differential Equation (SDE) actuated through a linear hyperbolic Partial Differential Equation (PDE). Our approach aims to minimize the…
Intensity control is a class of continuous-time dynamic optimization problems with many important applications in Operations Research including queueing and revenue management. In this study, we propose a practical continuous-time…