Related papers: q-Learning in Continuous Time
We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…
This effort is focused on examining the behavior of reinforcement learning systems in personalization environments and detailing the differences in policy entropy associated with the type of learning algorithm utilized. We demonstrate that…
Reinforcement learning algorithms based on Q-learning are driving Deep Reinforcement Learning (DRL) research towards solving complex problems and achieving super-human performance on many of them. Nevertheless, Q-Learning is known to be…
Modern reinforcement learning (RL) often faces an enormous state-action space. Existing analytical results are typically for settings with a small number of state-actions, or simple models such as linearly modeled Q-functions. To derive…
Learning complex policies with Reinforcement Learning (RL) is often hindered by instability and slow convergence, a problem exacerbated by the difficulty of reward engineering. Imitation Learning (IL) from expert demonstrations bypasses…
In this paper, we propose a new solution to reward adaptation (RA) in reinforcement learning, where the agent adapts to a target reward function based on one or more existing source behaviors learned a priori under the same domain dynamics…
We study reinforcement learning (RL) for the same class of continuous-time stochastic linear--quadratic (LQ) control problems as in \cite{huang2024sublinear}, where volatilities depend on both states and controls while states are…
Many real-world applications of reinforcement learning (RL) require making decisions in continuous action environments. In particular, determining the optimal dose level plays a vital role in developing medical treatment regimes. One…
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), and present applications to option pricing and portfolio…
Sample complexity bounds are a common performance metric in the Reinforcement Learning literature. In the discounted cost, infinite horizon setting, all of the known bounds have a factor that is a polynomial in $1/(1-\gamma)$, where $\gamma…
The theory of continuous-time reinforcement learning (RL) has progressed rapidly in recent years. While the ultimate objective of RL is typically to learn deterministic control policies, most existing continuous-time RL methods rely on…
While Bayesian-based exploration often demonstrates superior empirical performance compared to bonus-based methods in model-based reinforcement learning (RL), its theoretical understanding remains limited for model-free settings. Existing…
Off-policy reinforcement learning suffers from extrapolation errors when a learned policy selects actions that are weakly supported in the replay buffer. In this study, we address this issue by drawing an analogy to static friction. From…
Full-sampling (e.g., Q-learning) and pure-expectation (e.g., Expected Sarsa) algorithms are efficient and frequently used techniques in reinforcement learning. Q$(\sigma,\lambda)$ is the first approach unifies them with eligibility trace…
This paper investigates the instability of Q-learning in continuous environments, a challenge frequently encountered by practitioners. Traditionally, this instability is attributed to bootstrapping and regression model errors. Using a…
In this paper we proposed reinforcement learning algorithms with the generalized reward function. In our proposed method we use Q-learning and SARSA algorithms with generalised reward function to train the reinforcement learning agent. We…
Effective offline RL methods require properly handling out-of-distribution actions. Implicit Q-learning (IQL) addresses this by training a Q-function using only dataset actions through a modified Bellman backup. However, it is unclear which…
This paper studies policy transfer, one of the well-known transfer learning techniques adopted in large language models, for continuous-time reinforcement learning problems. In the case of continuous-time linear-quadratic systems with…
We study Merton's expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primitives are unknown. The agent under consideration is a price…
Reinforcement learning (RL) for exponential-utility optimization in discounted Markov decision processes (MDPs) lacks principled value-based algorithms. We address this gap in the fixed risk-aversion setting. Building on the Bellman-type…