Related papers: The variance-penalized stochastic shortest path pr…
We study the stochastic shortest path (SSP) problem in reinforcement learning with linear function approximation, where the transition kernel is represented as a linear mixture of unknown models. We call this class of SSP problems as linear…
In this paper we address two different related problems. We first study the problem of finding a simple shortest path in a $d$-dimensional real space subdivided in several polyhedra endowed with different $\ell_p$-norms. This problem is a…
Constrained Stochastic Shortest Path Problems (CSSPs) model problems with probabilistic effects, where a primary cost is minimised subject to constraints over secondary costs, e.g., minimise time subject to monetary budget. Current…
We consider stochastic bandit problems with a continuous set of arms and where the expected reward is a continuous and unimodal function of the arm. No further assumption is made regarding the smoothness and the structure of the expected…
The Multiple-Depot Vehicle Scheduling Problem (MDVSP) is very important in the planning process of transport systems. It consists in assigning a set of trips to a set of vehicles in order to minimize a certain total cost. We introduce three…
Stochastic equations play an important role in computational science, due to their ability to treat a wide variety of complex statistical problems. However, current algorithms are strongly limited by their sampling variance, which scales…
In this paper, we consider the problem of minimum-time optimal control for a dynamical system with initial state uncertainties and propose a sequential convex programming (SCP) solution framework. We seek to minimize the expected terminal…
This paper considers the scheduling of stochastic jobs on parallel identical machines to minimize the expected total weighted completion time. While this is a classical problem with a significant body of research on approximation algorithms…
The window mean-payoff objective strengthens the classical mean-payoff objective by computing the mean-payoff over a finite window that slides along an infinite path. Two variants have been considered: in one variant, the maximum window…
We study average-reward Markov decision processes (AMDPs) and develop novel first-order methods with strong theoretical guarantees for both policy optimization and policy evaluation. Compared with intensive research efforts in finite sample…
We study the vertex-decremental Single-Source Shortest Paths (SSSP) problem: given an undirected graph $G=(V,E)$ with lengths $\ell(e)\geq 1$ on its edges and a source vertex $s$, we need to support (approximate) shortest-path queries in…
In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form…
Consider a general path planning problem of a robot on a graph with edge costs, and where each node has a Boolean value of success or failure (with respect to some task) with a given probability. The objective is to plan a path for the…
We present a Reinforcement Learning (RL) solution to the view planning problem (VPP), which generates a sequence of view points that are capable of sensing all accessible area of a given object represented as a 3D model. In doing so, the…
We define a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process (MPP) and a Brownian motion, where the solution is constrained to stay above a given c\`adl\`ag process. The MPP is only…
We study the problem of optimal multi-robot path planning on graphs MPP over four distinct minimization objectives: the makespan (last arrival time), the maximum (single-robot traveled) distance, the total arrival time, and the total…
This paper discusses algorithms for solving Markov decision processes (MDPs) that have monotone optimal policies. We propose a two-stage alternating convex optimization scheme that can accelerate the search for an optimal policy by…
Partially observable Markov decision processes (POMDPs) provide a modeling framework for autonomous decision making under uncertainty and imperfect sensing, e.g. robot manipulation and self-driving cars. However, optimal control of POMDPs…
Given a directed graph $G$ with arbitrary real-valued weights, the single source shortest-path problem (SSSP) asks for, given a source $s$ in $G$, finding a shortest path from $s$ to each vertex $v$ in $G$. A classical SSSP algorithm…
Multi-period mean-variance optimization is a long-standing problem, caused by the failure of dynamic programming principle. This paper studies the mean-variance optimization in a setting of finite-horizon discrete-time Markov decision…