Related papers: Risk-Sensitive Policy with Distributional Reinforc…
Offline Reinforcement Learning (RL) faces distributional shift and unreliable value estimation, especially for out-of-distribution (OOD) actions. To address this, existing uncertainty-based methods penalize the value function with…
We study continuous-time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump-diffusion processes. We formulate an entropy-regularized exploratory control problem with stochastic policies to…
Distributional reinforcement learning (RL) aims to learn a value-network that predicts the full distribution of the returns for a given state, often modeled via a quantile-based critic. This approach has been successfully integrated into…
Research in machine learning is making progress in fixing its own reproducibility crisis. Reinforcement learning (RL), in particular, faces its own set of unique challenges. Comparison of point estimates, and plots that show successful…
This paper studies the optimal dividend problem with a bounded payout rate in a partially observed regime-switching diffusion model, where, in practice, the market regime is unobserved and key model parameters are unknown. To address this…
Reinforcement learning (RL) has achieved remarkable success in a wide range of sequential decision-making problems. Recent diffusion-based policies further improve RL by modeling complex, high-dimensional action distributions. However,…
Batch reinforcement learning (RL) aims at leveraging pre-collected data to find an optimal policy that maximizes the expected total rewards in a dynamic environment. The existing methods require absolutely continuous assumption (e.g., there…
Reinforcement Learning (RL) has been shown to be effective in many scenarios. However, it typically requires the exploration of a sufficiently large number of state-action pairs, some of which may be unsafe. Consequently, its application to…
Reinforcement learning (RL) based investment strategies have been widely adopted in portfolio management (PM) in recent years. Nevertheless, most RL-based approaches may often emphasize on pursuing returns while ignoring the risks of the…
This paper describes a purely data-driven solution to a class of sequential decision-making problems with a large number of concurrent online decisions, with applications to computing systems and operations research. We assume that while…
This paper focuses on reinforcement learning (RL) with limited prior knowledge. In the domain of swarm robotics for instance, the expert can hardly design a reward function or demonstrate the target behavior, forbidding the use of both…
Reinforcement Learning (RL) is a computational approach to reward-driven learning in sequential decision problems. It implements the discovery of optimal actions by learning from an agent interacting with an environment rather than from…
Reinforcement learning (RL) involves sequential decision making in uncertain environments. The aim of the decision-making agent is to maximize the benefit of acting in its environment over an extended period of time. Finding an optimal…
Deep reinforcement learning (RL) has achieved remarkable success, yet its deployment in real-world scenarios is often limited by vulnerability to environmental uncertainties. Distributionally robust RL (DR-RL) algorithms have been proposed…
Safe reinforcement learning (RL) is a popular and versatile paradigm to learn reward-maximizing policies with safety guarantees. Previous works tend to express the safety constraints in an expectation form due to the ease of implementation,…
A key barrier to using reinforcement learning (RL) in many real-world applications is the requirement of a large number of system interactions to learn a good control policy. Off-policy and Offline RL methods have been proposed to reduce…
The standard reinforcement learning (RL) formulation considers the expectation of the (discounted) cumulative reward. This is limiting in applications where we are concerned with not only the expected performance, but also the distribution…
This paper studies the problem of risk-sensitive reinforcement learning (RSRL) in continuous time, where the environment is characterized by a controllable stochastic differential equation (SDE) and the objective is a potentially nonlinear…
In this paper, we study the problem of dynamic channel allocation for URLLC traffic in a multi-user multi-channel wireless network where urgent packets have to be successfully transmitted in a timely manner. We formulate the problem as a…
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio management, with known and unknown model parameters, that…