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This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…
Model-based offline Reinforcement Learning (RL) constructs environment models from offline datasets to perform conservative policy optimization. Existing approaches focus on learning state transitions through ensemble models, rollouting…
Multi-agent Inverse Reinforcement Learning (MAIRL) aims to recover agent reward functions from expert demonstrations. We characterize the feasible reward set in Markov games, identifying all reward functions that rationalize a given…
Mean field games (MFGs) tractably model behavior in large agent populations. The literature on learning MFG equilibria typically focuses on finding Nash equilibria (NE), which assume perfectly rational agents and are hence implausible in…
To improve efficiency and reduce failures in autonomous vehicles, research has focused on developing robust and safe learning methods that take into account disturbances in the environment. Existing literature in robust reinforcement…
Multi-agent learning algorithms have been shown to display complex, unstable behaviours in a wide array of games. In fact, previous works indicate that convergent behaviours are less likely to occur as the total number of agents increases.…
Reinforcement Learning (RL) is essentially a trial-and-error learning procedure which may cause unsafe behavior during the exploration-and-exploitation process. This hinders the application of RL to real-world control problems, especially…
Although adversarial training (AT) has proven effective in enhancing the model's robustness, the recently revealed issue of fairness in robustness has not been well addressed, i.e. the robust accuracy varies significantly among different…
A significant bottleneck in applying current reinforcement learning algorithms to real-world scenarios is the need to reset the environment between every episode. This reset process demands substantial human intervention, making it…
We investigate multi-agent reinforcement learning for stochastic games with complex tasks, where the reward functions are non-Markovian. We utilize reward machines to incorporate high-level knowledge of complex tasks. We develop an…
Safe reinforcement learning (Safe RL) aims to ensure policy performance while satisfying safety constraints. However, most existing Safe RL methods assume benign environments, making them vulnerable to adversarial perturbations commonly…
Due to the proliferation of renewable energy and its intrinsic intermittency and stochasticity, current power systems face severe operational challenges. Data-driven decision-making algorithms from reinforcement learning (RL) offer a…
We propose a novel Inverse Reinforcement Learning (IRL) method that mitigates the rigidity of fixed reward structures and the limited flexibility of implicit reward regularization. Building on the Maximum Entropy IRL framework, our approach…
Unsupervised reinforcement learning (RL) studies how to leverage environment statistics to learn useful behaviors without the cost of reward engineering. However, a central challenge in unsupervised RL is to extract behaviors that…
Quantile (and, more generally, KL) regret bounds, such as those achieved by NormalHedge (Chaudhuri, Freund, and Hsu 2009) and its variants, relax the goal of competing against the best individual expert to only competing against a majority…
Reinforcement learning from self-play has recently reported many successes. Self-play, where the agents compete with themselves, is often used to generate training data for iterative policy improvement. In previous work, heuristic rules are…
This paper presents an algorithmic framework for learning robust policies in asymmetric imperfect-information games, where the joint reward could depend on the uncertain opponent type (a private information known only to the opponent itself…
Reinforcement learning (RL) promises to enable autonomous acquisition of complex behaviors for diverse agents. However, the success of current reinforcement learning algorithms is predicated on an often under-emphasised requirement -- each…
Policy regularization methods such as maximum entropy regularization are widely used in reinforcement learning to improve the robustness of a learned policy. In this paper, we show how this robustness arises from hedging against worst-case…
Classical reinforcement learning (RL) aims to optimize the expected cumulative rewards. In this work, we consider the RL setting where the goal is to optimize the quantile of the cumulative rewards. We parameterize the policy controlling…