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We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control problems and randomised problems, enabling applications across…
We study the estimation of risk-sensitive policies in reinforcement learning problems defined by a Markov Decision Process (MDPs) whose state and action spaces are countably finite. Prior efforts are predominately afflicted by computational…
The Bayes-Adaptive Markov Decision Process (BAMDP) formalism pursues the Bayes-optimal solution to the exploration-exploitation trade-off in reinforcement learning. As the computation of exact solutions to Bayesian reinforcement-learning…
Reinforcement learning studies how an agent should interact with an environment to maximize its cumulative reward. A standard way to study this question abstractly is to ask how many samples an agent needs from the environment to learn an…
We propose an algorithm for Bayesian functional optimisation - that is, finding the function to optimise a process - guided by experimenter beliefs and intuitions regarding the expected characteristics (length-scale, smoothness, cyclicity…
In this paper, we consider solving discounted Markov Decision Processes (MDPs) under the constraint that the resulting policy is stabilizing. In practice MDPs are solved based on some form of policy approximation. We will leverage recent…
Black-box policy optimization is a class of reinforcement learning algorithms that explores and updates the policies at the parameter level. This class of algorithms is widely applied in robotics with movement primitives or…
A basic model in sequential decision making is the Markov decision process (MDP), which is extended to Robust MDPs (RMDPs) by allowing uncertainty in transition probabilities and optimizing against the worst-case transition probabilities…
This paper addresses the problem of model-free reinforcement learning for Robust Markov Decision Process (RMDP) with large state spaces. The goal of the RMDP framework is to find a policy that is robust against the parameter uncertainties…
We provide performance guarantees for a variant of simulation-based policy iteration for controlling Markov decision processes that involves the use of stochastic approximation algorithms along with state-of-the-art techniques that are…
Policy gradient methods are powerful reinforcement learning algorithms and have been demonstrated to solve many complex tasks. However, these methods are also data-inefficient, afflicted with high variance gradient estimates, and frequently…
We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the…
In this paper, we use concepts from supervisory control theory of discrete event systems to propose a method to learn optimal control policies for a finite-state Markov Decision Process (MDP) in which (only) certain sequences of actions are…
This paper presents a framework to tackle constrained combinatorial optimization problems using deep Reinforcement Learning (RL). To this end, we extend the Neural Combinatorial Optimization (NCO) theory in order to deal with constraints in…
The Robust Markov Decision Process (RMDP) framework focuses on designing control policies that are robust against the parameter uncertainties due to the mismatches between the simulator model and real-world settings. An RMDP problem is…
We consider a dynamic programming (DP) approach to approximately solving an infinite-horizon constrained Markov decision process (CMDP) problem with a fixed initial-state for the expected total discounted-reward criterion with a…
Instability and slowness are two main problems in deep reinforcement learning. Even if proximal policy optimization (PPO) is the state of the art, it still suffers from these two problems. We introduce an improved algorithm based on…
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…
Robotic systems must be able to quickly and robustly make decisions when operating in uncertain and dynamic environments. While Reinforcement Learning (RL) can be used to compute optimal policies with little prior knowledge about the…
Robust Markov decision processes (r-MDPs) extend MDPs by explicitly modelling epistemic uncertainty about transition dynamics. Learning r-MDPs from interactions with an unknown environment enables the synthesis of robust policies with…