Related papers: Scalable Deep Reinforcement Learning Algorithms fo…
We consider the problem of representing collective behavior of large populations and predicting the evolution of a population distribution over a discrete state space. A discrete time mean field game (MFG) is motivated as an interpretable…
Portfolio optimization is essential for balancing risk and return in financial decision-making. Deep Reinforcement Learning (DRL) has stood out as a cutting-edge tool for portfolio optimization that learns dynamic asset allocation using…
Deep Reinforcement Learning (DRL) is a trending field of research, showing great promise in challenging problems such as playing Atari, solving Go and controlling robots. While DRL agents perform well in practice we are still lacking the…
Existing multi-agent reinforcement learning methods are limited typically to a small number of agents. When the agent number increases largely, the learning becomes intractable due to the curse of the dimensionality and the exponential…
In this paper, we use mean field games (MFGs) to investigate approximations of $N$-player games with uniformly symmetrically continuous heterogeneous closed-loop actions. To incorporate agents' risk aversion (beyond the classical expected…
Efficient allocation is important in nature and human society, where individuals frequently compete for limited resources. The Minority Game (MG) is perhaps the simplest toy model to address this issue. However, most previous solutions…
Mean field games (MFGs) are a promising framework for modeling the behavior of large-population systems. However, solving MFGs can be challenging due to the coupling of forward population evolution and backward agent dynamics. Typically,…
Model-free reinforcement learning (RL) can be used to learn effective policies for complex tasks, such as Atari games, even from image observations. However, this typically requires very large amounts of interaction -- substantially more,…
In the Lasry--Lions framework, Mean-Field Games (MFGs) model interactions among an infinite number of agents. However, existing algorithms either require strict monotonicity or only guarantee the convergence of averaged iterates, as in…
In multi-agent reinforcement learning, the behaviors that agents learn in a single Markov Game (MG) are typically confined to the given agent number. Every single MG induced by varying the population may possess distinct optimal joint…
Stochastic games are a popular framework for studying multi-agent reinforcement learning (MARL). Recent advances in MARL have focused primarily on games with finitely many states. In this work, we study multi-agent learning in stochastic…
This paper investigates a class of multi-player discrete games where each player aims to maximize its own utility function. Each player does not know the other players' action sets, their deployed actions or the structures of its own or the…
In this work we describe a novel deep reinforcement learning architecture that allows multiple actions to be selected at every time-step in an efficient manner. Multi-action policies allow complex behaviours to be learnt that would…
Multi-agent reinforcement learning, despite its popularity and empirical success, faces significant scalability challenges in large-population dynamic games. Graphon mean field games (GMFGs) offer a principled framework for approximating…
Mean Field Games (MFGs) provide a powerful framework for modeling the collective behavior of large populations of interacting agents. In this paper, we address the problem of Imitation Learning (IL) in MFGs subject to common noise, where…
Deep reinforcement learning (DRL) has made great achievements since proposed. Generally, DRL agents receive high-dimensional inputs at each step, and make actions according to deep-neural-network-based policies. This learning mechanism…
Optimal policies in standard MDPs can be obtained using either value iteration or policy iteration. However, in the case of zero-sum Markov games, there is no efficient policy iteration algorithm; e.g., it has been shown that one has to…
This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…
Large Language Models (LLMs) show strong reasoning abilities, often amplified by Chain-of-Thought (CoT) prompting and reinforcement learning (RL). Although RL algorithms can substantially improve reasoning, they struggle to expand reasoning…
Sequential decision making, commonly formalized as Markov Decision Process (MDP) optimization, is a important challenge in artificial intelligence. Two key approaches to this problem are reinforcement learning (RL) and planning. This paper…