Related papers: Mean-Semivariance Policy Optimization via Risk-Ave…
We study risk-sensitive RL where the goal is learn a history-dependent policy that optimizes some risk measure of cumulative rewards. We consider a family of risks called the optimized certainty equivalents (OCE), which captures important…
The objective in a traditional reinforcement learning (RL) problem is to find a policy that optimizes the expected value of a performance metric such as the infinite-horizon cumulative discounted or long-run average cost/reward. In…
Deploying controllers trained with Reinforcement Learning (RL) on real robots can be challenging: RL relies on agents' policies being modeled as Markov Decision Processes (MDPs), which assume an inherently discrete passage of time. The use…
Although in recent years reinforcement learning has become very popular the number of successful applications to different kinds of operations research problems is rather scarce. Reinforcement learning is based on the well-studied dynamic…
In high-stakes machine learning applications, it is crucial to not only perform well on average, but also when restricted to difficult examples. To address this, we consider the problem of training models in a risk-averse manner. We propose…
This paper proposes an off-policy risk-sensitive reinforcement learning based control framework for stabilization of a continuous-time nonlinear system that subjects to additive disturbances, input saturation, and state constraints. By…
Inverse optimal control, also known as inverse reinforcement learning, is the problem of recovering an unknown reward function in a Markov decision process from expert demonstrations of the optimal policy. We introduce a probabilistic…
Real-world reinforcement learning (RL) problems often demand that agents behave safely by obeying a set of designed constraints. We address the challenge of safe RL by coupling a safety guide based on model predictive control (MPC) with a…
A Markov decision process can be parameterized by a transition kernel and a reward function. Both play essential roles in the study of reinforcement learning as evidenced by their presence in the Bellman equations. In our inquiry of various…
In offline reinforcement learning, a policy learns to maximize cumulative rewards with a fixed collection of data. Towards conservative strategy, current methods choose to regularize the behavior policy or learn a lower bound of the value…
A policy is said to be robust if it maximizes the reward while considering a bad, or even adversarial, model. In this work we formalize two new criteria of robustness to action uncertainty. Specifically, we consider two scenarios in which…
Reinforcement Learning with Verifiable Rewards (RLVR) has proven effective for Large Language Model (LLM) reasoning, yet current methods face key challenges in resource allocation and policy optimization dynamics: (i) uniform rollout…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
Distributional reinforcement learning algorithms have attempted to utilize estimated uncertainty for exploration, such as optimism in the face of uncertainty. However, using the estimated variance for optimistic exploration may cause biased…
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…
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general…
Reinforcement learning has demonstrated impressive performance in various challenging problems such as robotics, board games, and classical arcade games. However, its real-world applications can be hindered by the absence of robustness and…
Model-free or learning-based control, in particular, reinforcement learning (RL), is expected to be applied for complex robotic tasks. Traditional RL requires a policy to be optimized is state-dependent, that means, the policy is a kind of…
Value function estimation is an indispensable subroutine in reinforcement learning, which becomes more challenging in the offline setting. In this paper, we propose Hybrid Value Estimation (HVE) to reduce value estimation error, which…
We study the off-policy evaluation (OPE) problem in reinforcement learning with linear function approximation, which aims to estimate the value function of a target policy based on the offline data collected by a behavior policy. We propose…