Related papers: Reinforcement Learning and Deep Stochastic Optimal…
This paper develops a reinforcement learning (RL)approach to solve a cooperative, multi-agent Volt-Var Control (VVC) problem for high solar penetration distribution systems. The ingenuity of our RL method lies in a novel two-stage…
In domains such as finance, healthcare, and robotics, managing worst-case scenarios is critical, as failure to do so can lead to catastrophic outcomes. Distributional Reinforcement Learning (DRL) provides a natural framework to incorporate…
Changes in demand, various hydrological inputs, and environmental stressors are among the issues that water managers and policymakers face on a regular basis. These concerns have sparked interest in applying different techniques to…
Deep Reinforcement Learning (DRL) has become a popular method for solving control problems in power systems. Conventional DRL encourages the agent to explore various policies encoded in a neural network (NN) with the goal of maximizing the…
Dynamic Portfolio optimization is the process of distribution and rebalancing of a fund into different financial assets such as stocks, cryptocurrencies, etc, in consecutive trading periods to maximize accumulated profits or minimize risks…
The global energy landscape is undergoing a transformation towards decarbonization, sustainability, and cost-efficiency. In this transition, microgrid systems integrated with renewable energy sources (RES) and energy storage systems (ESS)…
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and Mixture of Score Machines (MSM)),…
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 (RL) emerges as a promising data-driven approach for adaptive traffic signal control (ATSC) in complex urban traffic networks, with deep neural networks substantially augmenting its learning capabilities. However,…
Reinforcement learning (RL) algorithms for real-world robotic applications need a data-efficient learning process and the ability to handle complex, unknown dynamical systems. These requirements are handled well by model-based and…
This paper investigates a hybrid learning framework for reinforcement learning (RL) in which the agent can leverage both an offline dataset and online interactions to learn the optimal policy. We present a unified algorithm and analysis and…
We study the regret guarantee for risk-sensitive reinforcement learning (RSRL) via distributional reinforcement learning (DRL) methods. In particular, we consider finite episodic Markov decision processes whose objective is the entropic…
Deterministic and Stochastic techniques in Deep Reinforcement Learning (Deep-RL) have become a promising solution to improve motion control and the decision-making tasks for a wide variety of robots. Previous works showed that these Deep-RL…
With the growth of Renewable Energy (RE) generation, the operation of power grids has become increasingly complex. One solution could be automated grid operation, where Deep Reinforcement Learning (DRL) has repeatedly shown significant…
We present a deep reinforcement learning (deep RL) algorithm that consists of learning-based motion planning and imitation to tackle challenging control problems. Deep RL has been an effective tool for solving many high-dimensional…
We introduce robustness in \textit{restless multi-armed bandits} (RMABs), a popular model for constrained resource allocation among independent stochastic processes (arms). Nearly all RMAB techniques assume stochastic dynamics are precisely…
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal…
Execution algorithms are vital to modern trading, they enable market participants to execute large orders while minimising market impact and transaction costs. As these algorithms grow more sophisticated, optimising them becomes…
The problem of how to take the right actions to make profits in sequential process continues to be difficult due to the quick dynamics and a significant amount of uncertainty in many application scenarios. In such complicated environments,…
Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static risk measure that violates time consistency, or are based on…