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We propose a new policy gradient method, named homotopic policy mirror descent (HPMD), for solving discounted, infinite horizon MDPs with finite state and action spaces. HPMD performs a mirror descent type policy update with an additional…
We explore reinforcement learning methods for finding the optimal policy in the linear quadratic regulator (LQR) problem. In particular, we consider the convergence of policy gradient methods in the setting of known and unknown parameters.…
This paper studies linear stochastic approximation (SA) algorithms and their application to multi-agent systems in engineering and sociology. As main contribution, we provide necessary and sufficient conditions for convergence of linear SA…
We study infinite-horizon Constrained Markov Decision Processes (CMDPs) with general policy parameterizations and multi-layer neural network critics. Existing theoretical analyses for constrained reinforcement learning largely rely on…
We present a general framework for applying learning algorithms and heuristical guidance to the verification of Markov decision processes (MDPs). The primary goal of our techniques is to improve performance by avoiding an exhaustive…
Many physical systems have underlying safety considerations that require that the policy employed ensures the satisfaction of a set of constraints. The analytical formulation usually takes the form of a Constrained Markov Decision Process…
Finite-horizon Markov decision processes (MDPs) with high-dimensional exogenous uncertainty and endogenous states arise in operations and finance, including the valuation and exercise of Bermudan and real options, but face a scalability…
Large-scale Markov decision processes (MDPs) require planning algorithms with runtime independent of the number of states of the MDP. We consider the planning problem in MDPs using linear value function approximation with only weak…
Linear TD($\lambda$) is one of the most fundamental reinforcement learning algorithms for policy evaluation. Previously, convergence rates are typically established under the assumption of linearly independent features, which does not hold…
Plain reinforcement learning (RL) may be prone to loss of convergence, constraint violation, unexpected performance, etc. Commonly, RL agents undergo extensive learning stages to achieve acceptable functionality. This is in contrast to…
In this paper, we study the episodic reinforcement learning (RL) problem modeled by finite-horizon Markov Decision Processes (MDPs) with constraint on the number of batches. The multi-batch reinforcement learning framework, where the agent…
This paper focuses on learning a Constrained Markov Decision Process (CMDP) via general parameterized policies. We propose a Primal-Dual based Regularized Accelerated Natural Policy Gradient (PDR-ANPG) algorithm that uses entropy and…
Temporal-difference learning with gradient correction (TDC) is a two time-scale algorithm for policy evaluation in reinforcement learning. This algorithm was initially proposed with linear function approximation, and was later extended to…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…
Motivated by penalized likelihood maximization in complex models, we study optimization problems where neither the function to optimize nor its gradient have an explicit expression, but its gradient can be approximated by a Monte Carlo…
Stochastic gradient descent with backpropagation is the workhorse of artificial neural networks. It has long been recognized that backpropagation fails to be a biologically plausible algorithm. Fundamentally, it is a non-local procedure --…
This paper gives the first polynomial-time algorithm for tabular Markov Decision Processes (MDP) that enjoys a regret bound \emph{independent on the planning horizon}. Specifically, we consider tabular MDP with $S$ states, $A$ actions, a…
A basic simulation-based reinforcement learning algorithm is the Monte Carlo Exploring States (MCES) method, also known as optimistic policy iteration, in which the value function is approximated by simulated returns and a greedy policy is…
The most relevant problems in discounted reinforcement learning involve estimating the mean of a function under the stationary distribution of a Markov reward process, such as the expected return in policy evaluation, or the policy gradient…
We consider the optimal sample complexity theory of tabular reinforcement learning (RL) for maximizing the infinite horizon discounted reward in a Markov decision process (MDP). Optimal worst-case complexity results have been developed for…