Related papers: $K$-Nearest-Neighbor Resampling for Off-Policy Eva…
We consider the problem of evaluating the performance of a decision policy using past observational data. The outcome of a policy is measured in terms of a loss (aka. disutility or negative reward) and the main problem is making valid…
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…
Ordinary Differential Equations are a simple but powerful framework for modeling complex systems. Parameter estimation from times series can be done by Nonlinear Least Squares (or other classical approaches), but this can give…
Nested sampling is an iterative integration procedure that shrinks the prior volume towards higher likelihoods by removing a "live" point at a time. A replacement point is drawn uniformly from the prior above an ever-increasing likelihood…
This paper presents a new solution for choosing the K parameter in the k-nearest neighbor (KNN) algorithm, the solution depending on the idea of ensemble learning, in which a weak KNN classifier is used each time with a different K,…
In this paper we present an extension of existing Nearest-Neighbor heuristics to an algorithm called k-Repetitive-Nearest-Neighbor. The idea is to start with a tour of k nodes and then perform a Nearest-Neighbor search from there on. After…
Multi-turn interaction remains challenging for online reinforcement learning. A common solution is trajectory-level optimization, which treats each trajectory as a single training sample. However, this approach can be inefficient and yield…
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state. We allow a broad class of objectives built on a…
We consider evaluating and training a new policy for the evaluation data by using the historical data obtained from a different policy. The goal of off-policy evaluation (OPE) is to estimate the expected reward of a new policy over the…
One of the simplest and most effective classical machine learning algorithms is the $k$-nearest neighbors algorithm ($k$NN) which classifies an unknown test state by finding the $k$ nearest neighbors from a set of $M$ train states. Here we…
This paper studies the statistical theory of batch data reinforcement learning with function approximation. Consider the off-policy evaluation problem, which is to estimate the cumulative value of a new target policy from logged history…
This paper studies off-policy evaluation (OPE) in reinforcement learning with a focus on behavior policy estimation for importance sampling. Prior work has shown empirically that estimating a history-dependent behavior policy can lead to…
Given a nonsmooth, nonconvex minimization problem, we consider algorithms that iteratively sample and minimize stochastic convex models of the objective function. Assuming that the one-sided approximation quality and the variation of the…
Logistic regression is a well-known statistical model which is commonly used in the situation where the output is a binary random variable. It has a wide range of applications including machine learning, public health, social sciences,…
The reverse $k$ nearest neighbor query finds all points that have the query point as one of their $k$ nearest neighbors, where the $k$NN query finds the $k$ closest points to its query point. Based on conics, we propose an efficent R$k$NN…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
To accumulate knowledge and improve its policy of behaviour, a reinforcement learning agent can learn `off-policy' about policies that differ from the policy used to generate its experience. This is important to learn counterfactuals, or…
A non-parametric k-nearest neighbour based entropy estimator is proposed. It improves on the classical Kozachenko-Leonenko estimator by considering non-uniform probability densities in the region of k-nearest neighbours around each sample…
We consider off-policy evaluation and optimization with continuous action spaces. We focus on observational data where the data collection policy is unknown and needs to be estimated. We take a semi-parametric approach where the value…
In this paper, we propose a stochastic optimization method that adaptively controls the sample size used in the computation of gradient approximations. Unlike other variance reduction techniques that either require additional storage or the…