Related papers: Stabilizing Policy Gradients for Stochastic Differ…
Stochastic gradient descent (SGD) is commonly used for optimization in large-scale machine learning problems. Langford et al. (2009) introduce a sparse online learning method to induce sparsity via truncated gradient. With high-dimensional…
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…
Policy gradient methods are a vital ingredient behind the success of modern reinforcement learning. Modern policy gradient methods, although successful, introduce a residual error in gradient estimation. In this work, we argue that this…
Continuous-time Markov decision processes are an important class of models in a wide range of applications, ranging from cyber-physical systems to synthetic biology. A central problem is how to devise a policy to control the system in order…
We present an algorithm for the efficient sampling of conditional paths of stochastic differential equations (SDEs). While unconditional path sampling of SDEs is straightforward, albeit expensive for high dimensional systems of SDEs,…
Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes are observed in multiple individuals or experimental units,…
Applying Differentially Private Stochastic Gradient Descent (DPSGD) to training modern, large-scale neural networks such as transformer-based models is a challenging task, as the magnitude of noise added to the gradients at each iteration…
We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…
Stochastic policies (also known as relaxed controls) are widely used in continuous-time reinforcement learning algorithms. However, executing a stochastic policy and evaluating its performance in a continuous-time environment remain open…
Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…
Stochastic gradient descent (SGD), which dates back to the 1950s, is one of the most popular and effective approaches for performing stochastic optimization. Research on SGD resurged recently in machine learning for optimizing convex loss…
Encoding frequency stability constraints in the operation problem is challenging due to its complex dynamics. Recently, data-driven approaches have been proposed to learn the stability criteria offline with the trained model embedded as a…
We consider stochastic gradient descent (SGD) for least-squares regression with potentially several passes over the data. While several passes have been widely reported to perform practically better in terms of predictive performance on…
Policy gradient methods in reinforcement learning have become increasingly prevalent for state-of-the-art performance in continuous control tasks. Novel methods typically benchmark against a few key algorithms such as deep deterministic…
Recent advances in policy gradient methods and deep learning have demonstrated their applicability for complex reinforcement learning problems. However, the variance of the performance gradient estimates obtained from the simulation is…
Reinforcement learning consists of finding policies that maximize an expected cumulative long-term reward in a Markov decision process with unknown transition probabilities and instantaneous rewards. In this paper, we consider the problem…
In this paper, we consider solving the distributed optimization problem over a multi-agent network under the communication restricted setting. We study a compressed decentralized stochastic gradient method, termed ``compressed exact…
This paper considers the problem of learning safe policies in the context of reinforcement learning (RL). In particular, we consider the notion of probabilistic safety. This is, we aim to design policies that maintain the state of the…
Dynamical systems are essential to model various phenomena in physics, finance, economics, and are also of current interest in machine learning. A central modeling task is investigating parameter sensitivity, whether tuning atmospheric…
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new probabilistic learning scheme for solving high-dimensional…