Related papers: Model-Free Risk-Sensitive Reinforcement Learning
Social goods, such as healthcare, smart city, and information networks, often produce ordered event data in continuous time. The generative processes of these event data can be very complex, requiring flexible models to capture their…
Reinforcement learning lies at the intersection of several challenges. Many applications of interest involve extremely large state spaces, requiring function approximation to enable tractable computation. In addition, the learner has only a…
One of the most basic problems in reinforcement learning (RL) is policy evaluation: estimating the long-term return, i.e., value function, corresponding to a given fixed policy. The celebrated Temporal Difference (TD) learning algorithm…
Motivated by applications in risk-sensitive reinforcement learning, we study mean-variance optimization in a discounted reward Markov Decision Process (MDP). Specifically, we analyze a Temporal Difference (TD) learning algorithm with linear…
Temporal difference (TD) learning is an important approach in reinforcement learning, as it combines ideas from dynamic programming and Monte Carlo methods in a way that allows for online and incremental model-free learning. A key idea of…
Reinforcement learning algorithms typically consider discrete-time dynamics, even though the underlying systems are often continuous in time. In this paper, we introduce a model-based reinforcement learning algorithm that represents…
We study reinforcement learning under model misspecification, where we do not have access to the true environment but only to a reasonably close approximation to it. We address this problem by extending the framework of robust MDPs to the…
The recency heuristic in reinforcement learning is the assumption that stimuli that occurred closer in time to an acquired reward should be more heavily reinforced. The recency heuristic is one of the key assumptions made by TD($\lambda$),…
Consider an auto-regressive model that produces outputs x (e.g., answers to questions, molecules) each of which can be summarized by an attribute vector y (e.g., helpfulness vs. harmlessness, or bio-availability vs. lipophilicity). An…
This paper investigates a novel nonlinear update rule based on temporal difference (TD) errors in reinforcement learning (RL). The update rule in the standard RL states that the TD error is linearly proportional to the degree of updates,…
We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, such as variance, Expected Shortfall, entropic Value-at-Risk,…
Multi-step temporal difference (TD) learning is an important approach in reinforcement learning, as it unifies one-step TD learning with Monte Carlo methods in a way where intermediate algorithms can outperform either extreme. They address…
The empirical risk minimization approach to data-driven decision making requires access to training data drawn under the same conditions as those that will be faced when the decision rule is deployed. However, in a number of settings, we…
We propose a new reinforcement learning (RL) formulation for training continuous-time score-based diffusion models for generative AI to generate samples that maximize reward functions while keeping the generated distributions close to the…
Temporal-difference (TD) learning is widely regarded as one of the most popular algorithms in reinforcement learning (RL). Despite its widespread use, it has only been recently that researchers have begun to actively study its finite time…
Temporal difference (TD) learning is a fundamental technique in reinforcement learning that updates value estimates for states or state-action pairs using a TD target. This target represents an improved estimate of the true value by…
One of the fundamental challenges associated with reinforcement learning (RL) is that collecting sufficient data can be both time-consuming and expensive. In this paper, we formalize a concept of time reversal symmetry in a Markov decision…
Reinforcement learning is able to solve complex sequential decision-making tasks but is currently limited by sample efficiency and required computation. To improve sample efficiency, recent work focuses on model-based RL which interleaves…
Temporal difference (TD) learning is a foundational algorithm in reinforcement learning (RL). For nearly forty years, TD learning has served as a workhorse for applied RL as well as a building block for more complex and specialized…
All reinforcement learning algorithms must handle the trade-off between exploration and exploitation. Many state-of-the-art deep reinforcement learning methods use noise in the action selection, such as Gaussian noise in policy gradient…