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With the fast development of quantitative portfolio optimization in financial engineering, lots of AI-based algorithmic trading strategies have demonstrated promising results, among which reinforcement learning begins to manifest…
This paper proposes a safe reinforcement learning (RL) algorithm that approximately solves the state-constrained optimal control problem for continuous-time uncertain nonlinear systems. We formulate the safe RL problem as the minimization…
This paper addresses the problem of designing control policies for agents with unknown stochastic dynamics and control objectives specified using Linear Temporal Logic (LTL). Recent Deep Reinforcement Learning (DRL) algorithms have aimed to…
To obtain higher sample efficiency and superior final performance simultaneously has been one of the major challenges for deep reinforcement learning (DRL). Previous work could handle one of these challenges but typically failed to address…
Deep Reinforcement Learning (DRL) has shown its promising capabilities to learn optimal policies directly from trial and error. However, learning can be hindered if the goal of the learning, defined by the reward function, is "not optimal".…
We propose and address a novel few-shot RL problem, where a task is characterized by a subtask graph which describes a set of subtasks and their dependencies that are unknown to the agent. The agent needs to quickly adapt to the task over…
Existing metrics for reinforcement learning (RL) such as regret, PAC bounds, or uniform-PAC (Dann et al., 2017), typically evaluate the cumulative performance, while allowing the agent to play an arbitrarily bad policy at any finite time t.…
In scheduling problems common in the industry and various real-world scenarios, responding in real-time to disruptive events is essential. Recent methods propose the use of deep reinforcement learning (DRL) to learn policies capable of…
The online 3D bin packing problem is important in logistics, warehousing and intelligent manufacturing, with solutions shifting to deep reinforcement learning (DRL) which faces challenges like low sample efficiency. This paper proposes a…
Distributionally robust offline reinforcement learning (RL) aims to find a policy that performs the best under the worst environment within an uncertainty set using an offline dataset collected from a nominal model. While recent advances in…
Multi-agent learning is a promising method to simulate aggregate competitive behaviour in finance. Learning expert agents' reward functions through their external demonstrations is hence particularly relevant for subsequent design of…
In many real-world settings, reinforcement learning systems suffer performance degradation when the environment encountered at deployment differs from that observed during training. Distributionally robust reinforcement learning (DR-RL)…
We propose an automata-theoretic approach for reinforcement learning (RL) under complex spatio-temporal constraints with time windows. The problem is formulated using a Markov decision process under a bounded temporal logic constraint.…
Reinforcement learning (RL) has gained increasing interest since the demonstration it was able to reach human performance on video game benchmarks using deep Q-learning (DQN). The current consensus for training neural networks on such…
Deep Reinforcement Learning has enabled the learning of policies for complex tasks in partially observable environments, without explicitly learning the underlying model of the tasks. While such model-free methods achieve considerable…
Benders decomposition (BD), along with its generalized version (GBD), is a widely used algorithm for solving large-scale mixed-integer optimization problems that arise in the operation of process systems. However, the off-the-shelf…
While many recent advances in deep reinforcement learning (RL) rely on model-free methods, model-based approaches remain an alluring prospect for their potential to exploit unsupervised data to learn environment model. In this work, we…
Distributional Reinforcement Learning (RL) maintains the entire probability distribution of the reward-to-go, i.e. the return, providing more learning signals that account for the uncertainty associated with policy performance, which may be…
In this work, we study how to efficiently apply reinforcement learning (RL) for solving large-scale stochastic optimization problems by leveraging intervention models. The key of the proposed methodology is to better explore the solution…
Robust reinforcement learning (RRL) aims at seeking a robust policy to optimize the worst case performance over an uncertainty set of Markov decision processes (MDPs). This set contains some perturbed MDPs from a nominal MDP (N-MDP) that…