Related papers: RLOP: RL Methods in Option Pricing from a Mathemat…

In a natural market environment, the price prediction model needs to be updated in real time according to the data obtained by the system to ensure the accuracy of the prediction. In order to improve the user experience of the system, the…

This study investigates the application of machine learning techniques, specifically Neural Networks, Random Forests, and CatBoost for option pricing, in comparison to traditional models such as Black-Scholes and Heston Model. Using both…

Offline algorithms for Reinforcement Learning from Human Preferences (RLHF), which use only a fixed dataset of sampled responses given an input, and preference feedback among these responses, have gained increasing prominence in the…

Reinforcement learning (RL) algorithms find applications in inventory control, recommender systems, vehicular traffic management, cloud computing and robotics. The real-world complications of many tasks arising in these domains makes them…

Optimization of hyper-parameters in reinforcement learning (RL) algorithms is a key task, because they determine how the agent will learn its policy by interacting with its environment, and thus what data is gathered. In this work, an…

Online matching problems arise in many complex systems, from cloud services and online marketplaces to organ exchange networks, where timely, principled decisions are critical for maintaining high system performance. Traditional heuristics…

While reinforcement learning (RL) holds great potential for decision making in the real world, it suffers from a number of unique difficulties which often need specific consideration. In particular: it is highly non-stationary; suffers from…

Recently, the number of off-the-shelf Large Language Models (LLMs) has exploded with many open-source options. This creates a diverse landscape regarding both serving options (e.g., inference on local hardware vs remote LLM APIs) and model…

In this work, we address the problem of determining reliable policies in reinforcement learning (RL), with a focus on optimization under uncertainty and the need for performance guarantees. While classical RL algorithms aim at maximizing…

A popular line of recent research incorporates ML advice in the design of online algorithms to improve their performance in typical instances. These papers treat the ML algorithm as a black-box, and redesign online algorithms to take…

Many traditional algorithms for solving combinatorial optimization problems involve using hand-crafted heuristics that sequentially construct a solution. Such heuristics are designed by domain experts and may often be suboptimal due to the…

In this paper, a unified framework for exploration in reinforcement learning (RL) is proposed based on an option-critic model. The proposed framework learns to integrate a set of diverse exploration strategies so that the agent can…

Reinforcement learning (RL) has emerged as a promising approach to automating decision processes. This paper explores the application of RL techniques to optimise the polynomial order in the computational mesh when using high-order solvers.…

Offline learning is a key part of making reinforcement learning (RL) useable in real systems. Offline RL looks at scenarios where there is data from a system's operation, but no direct access to the system when learning a policy. Recent…

We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market…

An internet network service provider manages its network with multiple objectives, such as high quality of service (QoS) and minimum computing resource usage. To achieve these objectives, a reinforcement learning-based (RL) algorithm has…

Data analytics using machine learning (ML) has become ubiquitous in science, business intelligence, journalism and many other domains. While a lot of work focuses on reducing the training cost, inference runtime and storage cost of ML…

Optimal order execution is widely studied by industry practitioners and academic researchers because it determines the profitability of investment decisions and high-level trading strategies, particularly those involving large volumes of…

This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…

Deeply-learned planning methods are often based on learning representations that are optimized for unrelated tasks. For example, they might be trained on reconstructing the environment. These representations are then combined with predictor…