Related papers: Robust Policy Optimization in Continuous-time Mixe…
This work proposes a novel numerical scheme for solving the high-dimensional Hamilton-Jacobi-Bellman equation with a functional hierarchical tensor ansatz. We consider the setting of stochastic control, whereby one applies control to a…
Designing a stabilizing controller for nonlinear systems is a challenging task, especially for high-dimensional problems with unknown dynamics. Traditional reinforcement learning algorithms applied to stabilization tasks tend to drive the…
Deep reinforcement learning (RL) uses model-free techniques to optimize task-specific control policies. Despite having emerged as a promising approach for complex problems, RL is still hard to use reliably for real-world applications. Apart…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
Stochastic policies (also known as relaxed controls) are widely used in continuous-time reinforcement learning algorithms. However, executing a stochastic policy and evaluating its performance in a continuous-time environment remain open…
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physical model, we study this system in the classical and quantum…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
Safety is a primary concern when applying reinforcement learning to real-world control tasks, especially in the presence of external disturbances. However, existing safe reinforcement learning algorithms rarely account for external…
Many applications -- including power systems, robotics, and economics -- involve a dynamical system interacting with a stochastic and hard-to-model environment. We adopt a reinforcement learning approach to control such systems.…
Regulating the importance ratio is critical for the training stability of Group Relative Policy Optimization (GRPO) based frameworks. However, prevailing ratio control methods, such as hard clipping, suffer from non-differentiable…
We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural policies with Pontryagin's Maximum Principle (PMP) and enforces…
We present a novel distributionally robust framework for dynamic programming that uses kernel methods to design feedback control policies. Specifically, we leverage kernel mean embedding to map the transition probabilities governing the…
Policy iteration is a widely used technique to solve the Hamilton Jacobi Bellman (HJB) equation, which arises from nonlinear optimal feedback control theory. Its convergence analysis has attracted much attention in the unconstrained case.…
Classically, the optimal control problem in the presence of an adversary is formulated as a two-player zero-sum differential game or an $H_\infty$ control problem. The solution to these problems can be obtained by solving the…
In this paper time-driven learning refers to the machine learning method that updates parameters in a prediction model continuously as new data arrives. Among existing approximate dynamic programming (ADP) and reinforcement learning (RL)…
Reinforcement learning (RL) is a class of artificial intelligence algorithms being used to design adaptive optimal controllers through online learning. This paper presents a model-free, real-time, data-efficient Q-learning-based algorithm…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
This work investigates the formal policy synthesis of continuous-state stochastic dynamic systems given high-level specifications in linear temporal logic. To learn an optimal policy that maximizes the satisfaction probability, we take a…
We evaluate benchmark deep reinforcement learning algorithms on the task of portfolio optimisation using simulated data. The simulator to generate the data is based on correlated geometric Brownian motion with the Bertsimas-Lo market impact…
Reinforcement learning (RL) has demonstrated the ability to maintain the plasticity of the policy throughout short-term training in aerial robot control. However, these policies have been shown to loss of plasticity when extended to…