Related papers: Continuous-time Risk-sensitive Reinforcement Learn…
This paper considers the problem of solving constrained reinforcement learning (RL) problems with anytime guarantees, meaning that the algorithmic solution must yield a constraint-satisfying policy at every iteration of its evolution. Our…
Constrained Reinforcement Learning has been employed to enforce safety constraints on policy through the use of expected cost constraints. The key challenge is in handling expected cost accumulated using the policy and not just in a single…
In complex environments with large discrete action spaces, effective decision-making is critical in reinforcement learning (RL). Despite the widespread use of value-based RL approaches like Q-learning, they come with a computational burden,…
This paper studies the robustness of reinforcement learning algorithms to errors in the learning process. Specifically, we revisit the benchmark problem of discrete-time linear quadratic regulation (LQR) and study the long-standing open…
Real-world applications require RL algorithms to act safely. During learning process, it is likely that the agent executes sub-optimal actions that may lead to unsafe/poor states of the system. Exploration is particularly brittle in…
We study policy gradient (PG) for reinforcement learning in continuous time and space under the regularized exploratory formulation developed by Wang et al. (2020). We represent the gradient of the value function with respect to a given…
In a reinforcement learning (RL) setting, the agent's optimal strategy heavily depends on her risk preferences and the underlying model dynamics of the training environment. These two aspects influence the agent's ability to make…
Reinforcement learning (RL) is a powerful machine learning technique that enables an intelligent agent to learn an optimal policy that maximizes the cumulative rewards in sequential decision making. Most of methods in the existing…
Safety in reinforcement learning (RL) is a key property in both training and execution in many domains such as autonomous driving or finance. In this paper, we formalize it with a constrained RL formulation in the distributional RL setting.…
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploitation, and is formulated as an entropy-regularized, relaxed…
Reinforcement Learning (RL) is an important machine learning paradigm for solving sequential decision-making problems. Recent years have witnessed remarkable progress in this field due to the rapid development of deep neural networks.…
Many sequential decision-making tasks involve optimizing multiple conflicting objectives, requiring policies that adapt to different user preferences. In multi-objective reinforcement learning (MORL), one widely studied approach} addresses…
Distributional reinforcement learning (RL) aims to learn a value-network that predicts the full distribution of the returns for a given state, often modeled via a quantile-based critic. This approach has been successfully integrated into…
This paper presents a deep reinforcement learning (DRL) framework for dynamic portfolio optimization under market uncertainty and risk. The proposed model integrates a Sharpe ratio-based reward function with direct risk control mechanisms,…
Offline reinforcement learning (RL) presents distinct challenges as it relies solely on observational data. A central concern in this context is ensuring the safety of the learned policy by quantifying uncertainties associated with various…
Cumulative prospect theory (CPT) is known to model human decisions well, with substantial empirical evidence supporting this claim. CPT works by distorting probabilities and is more general than the classic expected utility and coherent…
Reinforcement Learning (RL) models have continually evolved to navigate the exploration - exploitation trade-off in uncertain Markov Decision Processes (MDPs). In this study, I leverage the principles of stochastic thermodynamics and system…
Recently, safe reinforcement learning (RL) with the actor-critic structure for continuous control tasks has received increasing attention. It is still challenging to learn a near-optimal control policy with safety and convergence…
Reinforcement learning (RL) commonly relies on scalar rewards with limited ability to express temporal, conditional, or safety-critical goals, and can lead to reward hacking. Temporal logic expressible via the more general class of…
In the dynamic and uncertain environments where reinforcement learning (RL) operates, risk management becomes a crucial factor in ensuring reliable decision-making. Traditional RL approaches, while effective in reward optimization, often…