Related papers: Global optimization for the portfolio selection mo…
Proximal Policy Optimization (PPO) is among the most widely used algorithms in reinforcement learning, which achieves state-of-the-art performance in many challenging problems. The keys to its success are the reliable policy updates through…
Bayesian global optimization (BGO) is an efficient surrogate-assisted technique for problems involving expensive evaluations. A parallel technique can be used to parallelly evaluate the true-expensive objective functions in one iteration to…
Proximal policy optimization and trust region policy optimization (PPO and TRPO) with actor and critic parametrized by neural networks achieve significant empirical success in deep reinforcement learning. However, due to nonconvexity, the…
This article proposes a unified framework for portfolio optimization (PO), recognizing an object called the `gain probability density function (PDF)' as the fundamental object of the problem from which any objective function could be…
The global optimization literature places large emphasis on reducing intractable optimization problems into more tractable structured optimization forms. In order to achieve this goal, many existing methods are restricted to optimization…
We propose a framework for online meta-optimization of parameters that govern optimization, called Amortized Proximal Optimization (APO). We first interpret various existing neural network optimizers as approximate stochastic proximal point…
Proximal policy optimization (PPO) algorithm is a deep reinforcement learning algorithm with outstanding performance, especially in continuous control tasks. But the performance of this method is still affected by its exploration ability.…
In the problem of online portfolio selection as formulated by Cover (1991), the trader repeatedly distributes her capital over $ d $ assets in each of $ T > 1 $ rounds, with the goal of maximizing the total return. Cover proposed an…
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…
The Moment/Sum-of-squares hierarchy provides a way to compute the global minimizers of polynomial optimization problems (POP), at the cost of solving a sequence of increasingly large semidefinite programs (SDPs). We consider large-scale…
Very recently proximal policy optimization (PPO) algorithms have been proposed as first-order optimization methods for effective reinforcement learning. While PPO is inspired by the same learning theory that justifies trust region policy…
In this paper, we analyze how global optima of an agent's preferences can be reconstructed from the solutions found for local problems. A sheaf-theoretic analysis provides an abstract characterization of the global solution, and polynomial…
Optimized Pulse Patterns (OPPs) are gaining increasing popularity in the power electronics community over the well-studied pulse width modulation due to their inherent ability to provide the switching instances that optimize current…
Deep reinforcement learning has been able to solve various tasks successfully, however, due to the construction of policy gradient and training dynamics, tuning deep reinforcement learning models remains challenging. As one of the most…
Proximal policy optimization (PPO) is one of the most popular deep reinforcement learning (RL) methods, achieving state-of-the-art performance across a wide range of challenging tasks. However, as a model-free RL method, the success of PPO…
In this paper, we consider a new problem of portfolio optimization using stochastic information. In a setting where there is some uncertainty, we ask how to best select $k$ potential solutions, with the goal of optimizing the value of the…
This paper proposes a novel global optimization algorithm, Particle Filter-Based Optimization (PFO), designed for a class of stochastic optimization problems in which the objective function lacks an analytical form and is subject to noisy…
A new topology optimization method called the Proportional Topology Optimization (PTO) is presented. As a non-gradient method, PTO is simple to understand, easy to implement, and is also efficient and accurate at the same time. It is…
The moment-SOS (sum of squares) hierarchy is a powerful approach for solving globally non-convex polynomial optimization problems (POPs) at the price of solving a family of convex semidefinite optimization problems (called moment-SOS…
A standard objective in partially-observable Markov decision processes (POMDPs) is to find a policy that maximizes the expected discounted-sum payoff. However, such policies may still permit unlikely but highly undesirable outcomes, which…