Related papers: Finite-Sample Bounds for Adaptive Inverse Reinforc…

The goal of inverse reinforcement learning (IRL) is to infer a reward function that explains the behavior of an agent performing a task. The assumption that most approaches make is that the demonstrated behavior is near-optimal. In many…

We study two time-scale linear stochastic approximation algorithms, which can be used to model well-known reinforcement learning algorithms such as GTD, GTD2, and TDC. We present finite-time performance bounds for the case where the…

We study reinforcement learning in infinite-horizon discounted Markov decision processes with continuous state spaces, where data are generated online from a single trajectory under a Markovian behavior policy. To avoid maintaining an…

Optimizing noisy functions online, when evaluating the objective requires experiments on a deployed system, is a crucial task arising in manufacturing, robotics and many others. Often, constraints on safe inputs are unknown ahead of time,…

Rerandomization is an experimental design technique that repeatedly randomizes treatment assignments until covariates are balanced between treatment groups. Rerandomization in the design stage of an experiment can lead to many asymptotic…

As sample sizes grow, scalability has become a central concern in the development of Markov chain Monte Carlo (MCMC) methods. One general approach to this problem, exemplified by the popular stochastic gradient Langevin dynamics (SGLD)…

Stochastic Gradient Descent with a constant learning rate (constant SGD) simulates a Markov chain with a stationary distribution. With this perspective, we derive several new results. (1) We show that constant SGD can be used as an…

We propose a practical non-episodic PSRL algorithm that unlike recent state-of-the-art PSRL algorithms uses a deterministic, model-independent episode switching schedule. Our algorithm termed deterministic schedule PSRL (DS-PSRL) is…

We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…

Stochastic gradient Langevin dynamics (SGLD) has gained the attention of optimization researchers due to its global optimization properties. This paper proves an improved convergence property to local minimizers of nonconvex objective…

During initial iterations of training in most Reinforcement Learning (RL) algorithms, agents perform a significant number of random exploratory steps. In the real world, this can limit the practicality of these algorithms as it can lead to…

This paper introduces an iterative algorithm for training nonparametric additive models that enjoys favorable memory storage and computational requirements. The algorithm can be viewed as the functional counterpart of stochastic gradient…

Bayesian deep learning offers a principled way to address many issues concerning safety of artificial intelligence (AI), such as model uncertainty,model interpretability, and prediction bias. However, due to the lack of efficient Monte…

We study the mixing properties of an important optimization algorithm of machine learning: the stochastic gradient Langevin dynamics (SGLD) with a fixed step size. The data stream is not assumed to be independent hence the SGLD is not a…

Particle-based stochastic reaction-diffusion (PBSRD) models are a popular approach for capturing stochasticity in reaction and transport processes across biological systems. In some contexts, the overdamped approximation inherent in such…

We study risk-sensitive reinforcement learning (RL) based on an entropic risk measure in episodic non-stationary Markov decision processes (MDPs). Both the reward functions and the state transition kernels are unknown and allowed to vary…

We study the offline reinforcement learning (offline RL) problem, where the goal is to learn a reward-maximizing policy in an unknown Markov Decision Process (MDP) using the data coming from a policy $\mu$. In particular, we consider the…

We consider the problem of online reinforcement learning for the Stochastic Shortest Path (SSP) problem modeled as an unknown MDP with an absorbing state. We propose PSRL-SSP, a simple posterior sampling-based reinforcement learning…

Generative adversarial imitation learning (GAIL) is a popular inverse reinforcement learning approach for jointly optimizing policy and reward from expert trajectories. A primary question about GAIL is whether applying a certain policy…

This work advances randomized exploration in reinforcement learning (RL) with function approximation modeled by linear mixture MDPs. We establish the first prior-dependent Bayesian regret bound for RL with function approximation; and refine…