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While researchers in the asset management industry have mostly focused on techniques based on financial and risk planning techniques like Markowitz efficient frontier, minimum variance, maximum diversification or equal risk parity, in…
We study reinforcement learning by combining recent advances in regularized linear programming formulations with the classical theory of stochastic approximation. Motivated by the challenge of designing algorithms that leverage off-policy…
Argumentation-based dialogue systems, which can handle and exchange arguments through dialogue, have been widely researched. It is required that these systems have sufficient supporting information to argue their claims rationally; however,…
Offline estimation of the dynamical model of a Markov Decision Process (MDP) is a non-trivial task that greatly depends on the data available in the learning phase. Sometimes the dynamics of the model is invariant with respect to some…
Approximate dynamic programming is a popular method for solving large Markov decision processes. This paper describes a new class of approximate dynamic programming (ADP) methods- distributionally robust ADP-that address the curse of…
Robust Markov decision processes (MDPs) aim to handle changing or partially known system dynamics. To solve them, one typically resorts to robust optimization methods. However, this significantly increases computational complexity and…
Hierarchical forecasting with reconciliation requires forecasting values of a hierarchy (e.g.~customer demand in a state and district), such that forecast values are linked (e.g.~ district forecasts should add up to the state forecast).…
The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…
Sequential decision making, commonly formalized as optimization of a Markov Decision Process, is a key challenge in artificial intelligence. Two successful approaches to MDP optimization are reinforcement learning and planning, which both…
Model Predictive Control (MPC) is attracting tremendous attention in the autonomous driving task as a powerful control technique. The success of an MPC controller strongly depends on an accurate internal dynamics model. However, the static…
Deep Reinforcement Learning (DRL) has shown outstanding performance on inducing effective action policies that maximize expected long-term return on many complex tasks. Much of DRL work has been focused on sequences of events with discrete…
Renewable energy resources (RERs) have been increasingly integrated into distribution networks (DNs) for decarbonization. However, the variable nature of RERs introduces uncertainties to DNs, frequently resulting in voltage fluctuations…
Diffusion-based models have achieved notable empirical successes in reinforcement learning (RL) due to their expressiveness in modeling complex distributions. Despite existing methods being promising, the key challenge of extending existing…
Distributionally robust reinforcement learning (DRRL) focuses on designing policies that achieve good performance under model uncertainties. The goal is to maximize the worst-case long-term discounted reward, where the data for RL comes…
The growing prevalence of drift and shocks in modern decision environments exposes a gap between classical optimization theory and real-world practice. Standard models assume fixed objectives, yet organizations from hospitals to power grids…
This paper analyzes reinforcement learning (RL) algorithms for Markov decision processes (MDPs) under the average-reward criterion. We focus on Q-learning algorithms based on relative value iteration (RVI), which are model-free stochastic…
We introduce a weakly supervised method for representation learning based on aligning temporal sequences (e.g., videos) of the same process (e.g., human action). The main idea is to use the global temporal ordering of latent correspondences…
We study reinforcement learning (RL) with linear function approximation where the underlying transition probability kernel of the Markov decision process (MDP) is a linear mixture model (Jia et al., 2020; Ayoub et al., 2020; Zhou et al.,…
Many real-world decision-making problems face the off-dynamics challenge: the agent learns a policy in a source domain and deploys it in a target domain with different state transitions. The distributionally robust Markov decision process…
Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…