Related papers: Solving the optimal stopping problem with reinforc…
Quantum Computing (QC) stands to revolutionize computing, but is currently still limited. To develop and test quantum algorithms today, quantum circuits are often simulated on classical computers. Simulating a complex quantum circuit…
We study the constrained reinforcement learning problem, in which an agent aims to maximize the expected cumulative reward subject to a constraint on the expected total value of a utility function. In contrast to existing model-based…
Ensuring safety in Reinforcement Learning (RL), typically framed as a Constrained Markov Decision Process (CMDP), is crucial for real-world exploration applications. Current approaches in handling CMDP struggle to balance optimality and…
One often encounters the curse of dimensionality in the application of dynamic programming to determine optimal policies for controlled Markov chains. In this paper, we provide a method to construct sub-optimal policies along with a bound…
We propose a new unbiased estimator for estimating the utility of the optimal stopping problem. The MUSE, short for Multilevel Unbiased Stopping Estimator, constructs the unbiased Multilevel Monte Carlo (MLMC) estimator at every stage of…
We consider reinforcement learning (RL) in episodic Markov decision processes (MDPs) with linear function approximation under drifting environment. Specifically, both the reward and state transition functions can evolve over time but their…
The paradigm of decision-making has been revolutionised by reinforcement learning and deep learning. Although this has led to significant progress in domains such as robotics, healthcare, and finance, the use of RL in practice is…
Recommender systems aim to recommend the most suitable items to users from a large number of candidates. Their computation cost grows as the number of user requests and the complexity of services (or models) increases. Under the limitation…
I develop a numerical algorithm for stochastic impulse control in the spirit of Regression Monte Carlo for optimal stopping. The approach consists in generating statistical surrogates (aka functional approximators) for the continuation…
We present theoretical and numerical results concerning the problem to find the path that minimizes the time to navigate between two given points in a complex fluid under realistic navigation constraints. We contrast deterministic Optimal…
Autonomous vehicles with a self-evolving ability are expected to cope with unknown scenarios in the real-world environment. Take advantage of trial and error mechanism, reinforcement learning is able to self evolve by learning the optimal…
Inverse reinforcement learning (IRL) is the problem of finding a reward function that generates a given optimal policy for a given Markov Decision Process. This paper looks at an algorithmic-independent geometric analysis of the IRL problem…
We present an end-to-end framework for the Assignment Problem with multiple tasks mapped to a group of workers, using reinforcement learning while preserving many constraints. Tasks and workers have time constraints and there is a cost…
Reinforcement learning (RL) methods learn optimal decisions in the presence of a stationary environment. However, the stationary assumption on the environment is very restrictive. In many real world problems like traffic signal control,…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
Robotic systems must be able to quickly and robustly make decisions when operating in uncertain and dynamic environments. While Reinforcement Learning (RL) can be used to compute optimal policies with little prior knowledge about the…
This article presents a novel approach, named MCMP (Monte Carlo Motion Planning), to the problem of motion planning under uncertainty, i.e., to the problem of computing a low-cost path that fulfills probabilistic collision avoidance…
Learning-based predictive control is a promising alternative to optimization-based MPC. However, efficiently learning the optimal control policy, the optimal value function, or the Q-function requires suitable function approximators. Often,…
With the growing needs of online A/B testing to support the innovation in industry, the opportunity cost of running an experiment becomes non-negligible. Therefore, there is an increasing demand for an efficient continuous monitoring…
Despite impressive results, reinforcement learning (RL) suffers from slow convergence and requires a large variety of tuning strategies. In this paper, we investigate the ability of RL algorithms on simple continuous control tasks. We show…