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Despite the success of the Adam optimizer in practice, the theoretical understanding of its algorithmic components still remains limited. In particular, most existing analyses of Adam show the convergence rate that can be simply achieved by…
Reinforcement Learning (RL) has achieved remarkable success in sequential decision tasks. However, recent studies have revealed the vulnerability of RL policies to different perturbations, raising concerns about their effectiveness and…
This work formulates the machine learning mechanism as a bi-level optimization problem. The inner level optimization loop entails minimizing a properly chosen loss function evaluated on the training data. This is nothing but the…
AdamZ is an advanced variant of the Adam optimiser, developed to enhance convergence efficiency in neural network training. This optimiser dynamically adjusts the learning rate by incorporating mechanisms to address overshooting and…
Distributionally robust optimization (DRO) problems are increasingly seen as a viable method to train machine learning models for improved model generalization. These min-max formulations, however, are more difficult to solve. We therefore…
Optimal selection of optimization algorithms is crucial for training deep learning models. The Adam optimizer has gained significant attention due to its efficiency and wide applicability. However, to enhance the adaptability of optimizers…
When function approximation is deployed in reinforcement learning (RL), the same problem may be formulated in different ways, often by treating a pre-processing step as a part of the environment or as part of the agent. As a consequence,…
Reinforcement learning (RL) enables agents to take decision based on a reward function. However, in the process of learning, the choice of values for learning algorithm parameters can significantly impact the overall learning process. In…
Intelligent robots provide a new insight into efficiency improvement in industrial and service scenarios to replace human labor. However, these scenarios include dense and dynamic obstacles that make motion planning of robots challenging.…
Although safety stock optimisation has been studied for more than 60 years, most companies still use simplistic means to calculate necessary safety stock levels, partly due to the mismatch between existing analytical methods' emphases on…
Reinforcement learning systems require good representations to work well. For decades practical success in reinforcement learning was limited to small domains. Deep reinforcement learning systems, on the other hand, are scalable, not…
Affine rank minimization algorithms typically rely on calculating the gradient of a data error followed by a singular value decomposition at every iteration. Because these two steps are expensive, heuristic approximations are often used to…
Reinforcement learning (RL) applications, where an agent can simply learn optimal behaviors by interacting with the environment, are quickly gaining tremendous success in a wide variety of applications from controlling simple pendulums to…
Optimal Order Execution is a well-established problem in finance that pertains to the flawless execution of a trade (buy or sell) for a given volume within a specified time frame. This problem revolves around optimizing returns while…
Offline Reinforcement Learning (RL) aims to learn a near-optimal policy from a fixed dataset of transitions collected by another policy. This problem has attracted a lot of attention recently, but most existing methods with strong…
Adaptive gradient methods, e.g. \textsc{Adam}, have achieved tremendous success in machine learning. Scaling the learning rate element-wisely by a certain form of second moment estimate of gradients, such methods are able to attain rapid…
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
Many key problems in machine learning and data science are routinely modeled as optimization problems and solved via optimization algorithms. With the increase of the volume of data and the size and complexity of the statistical models used…
Deep Reinforcement Learning (Deep RL) has had incredible achievements on high dimensional problems, yet its learning process remains unstable even on the simplest tasks. Deep RL uses neural networks as function approximators. These neural…
As we seek to deploy machine learning models beyond virtual and controlled domains, it is critical to analyze not only the accuracy or the fact that it works most of the time, but if such a model is truly robust and reliable. This paper…