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Policy gradient methods are a vital ingredient behind the success of modern reinforcement learning. Modern policy gradient methods, although successful, introduce a residual error in gradient estimation. In this work, we argue that this…
This paper addresses policy learning in non-stationary environments and games with continuous actions. Rather than the classical reward maximization mechanism, inspired by the ideas of follow-the-regularized-leader (FTRL) and mirror descent…
Vanilla Reinforcement Learning (RL) can efficiently solve complex tasks but does not provide any guarantees on system behavior. To bridge this gap, we propose a three-step safe RL procedure for continuous action spaces that provides…
Reinforcement learning algorithms such as the deep deterministic policy gradient algorithm (DDPG) has been widely used in continuous control tasks. However, the model-free DDPG algorithm suffers from high sample complexity. In this paper we…
Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static risk measure that violates time consistency, or are based on…
Deep Reinforcement Learning (DRL) has achieved remarkable success, ranging from complex computer games to real-world applications, showing the potential for intelligent agents capable of learning in dynamic environments. However, its…
Entropy regularization is an efficient technique for encouraging exploration and preventing a premature convergence of (vanilla) policy gradient methods in reinforcement learning (RL). However, the theoretical understanding of…
A fundamental challenge in reinforcement learning is to learn policies that generalize beyond the operating domains experienced during training. In this paper, we approach this challenge through the following invariance principle: an agent…
Deterministic policy gradient (DPG) is widely utilized for continuous control; however, it inherently relies on the differentiability of the critic with respect to the action during policy updates. This assumption is violated in practical…
Batch reinforcement learning (RL) aims at leveraging pre-collected data to find an optimal policy that maximizes the expected total rewards in a dynamic environment. The existing methods require absolutely continuous assumption (e.g., there…
SGD (Stochastic Gradient Descent) is a popular algorithm for large scale optimization problems due to its low iterative cost. However, SGD can not achieve linear convergence rate as FGD (Full Gradient Descent) because of the inherent…
Reinforcement learning (RL) is currently one of the most prominent methods for optimizing dynamical systems, with breakthrough results across various fields. The framework is based on the concept of a Markov decision process (MDP), leading…
In this paper, we propose a novel reinforcement- learning algorithm consisting in a stochastic variance-reduced version of policy gradient for solving Markov Decision Processes (MDPs). Stochastic variance-reduced gradient (SVRG) methods…
We propose a novel approach to address one aspect of the non-stationarity problem in multi-agent reinforcement learning (RL), where the other agents may alter their policies due to environment changes during execution. This violates the…
We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…
In reinforcement learning, off-policy actor-critic methods like DDPG and TD3 use deterministic policy gradients: the Q-function is learned from environment data, while the actor maximizes it via gradient ascent. We observe that in complex…
Lagrangian methods are widely used algorithms for constrained optimization problems, but their learning dynamics exhibit oscillations and overshoot which, when applied to safe reinforcement learning, leads to constraint-violating behavior…
We revisit the finite time analysis of policy gradient methods in the one of the simplest settings: finite state and action MDPs with a policy class consisting of all stochastic policies and with exact gradient evaluations. There has been…
In this paper we are introducing a new reinforcement learning method for control problems in environments with delayed feedback. Specifically, our method employs stochastic planning, versus previous methods that used deterministic planning.…
We discuss the problem of decentralized multi-agent reinforcement learning (MARL) in this work. In our setting, the global state, action, and reward are assumed to be fully observable, while the local policy is protected as privacy by each…