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We study the problem of computing deterministic optimal policies for constrained Markov decision processes (MDPs) with continuous state and action spaces, which are widely encountered in constrained dynamical systems. Designing…
Deep reinforcement learning (DRL) has attracted much attention as an approach to solve optimal control problems without mathematical models of systems. On the other hand, in general, constraints may be imposed on optimal control problems.…
Shifting from traditional control strategies to Deep Reinforcement Learning (RL) for legged robots poses inherent challenges, especially when addressing real-world physical constraints during training. While high-fidelity simulations…
Multistage stochastic programs can be approximated by restricting policies to follow decision rules. Directly applying this idea to problems with integer decisions is difficult because of the need for decision rules that lead to integral…
We study the problem of computing an optimal policy of an infinite-horizon discounted constrained Markov decision process (constrained MDP). Despite the popularity of Lagrangian-based policy search methods used in practice, the oscillation…
We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples generated by time-varying MDPs controlled by the underlying…
Multi-stage stochastic linear programs (MSLPs) are notoriously hard to solve in general. Linear decision rules (LDRs) yield an approximation of an MSLP by restricting the decisions at each stage to be an affine function of the observed…
We study reinforcement learning by combining recent advances in regularized linear programming formulations with the classical theory of stochastic approximation. Motivated by the challenge of designing algorithms that leverage off-policy…
Many applications -- including power systems, robotics, and economics -- involve a dynamical system interacting with a stochastic and hard-to-model environment. We adopt a reinforcement learning approach to control such systems.…
In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such problems is constrained Markov decision process (CMDP). When…
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…
We address the issue of estimation bias in deep reinforcement learning (DRL) by introducing solution mechanisms that include a new, twin TD-regularized actor-critic (TDR) method. It aims at reducing both over and under-estimation errors.…
In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account \emph{risk}, i.e., increased awareness of events of small probability and high consequences. Accordingly, the…
We develop a generic policy gradient method with the global optimality guarantee for robust Markov Decision Processes (MDPs). While policy gradient methods are widely used for solving dynamic decision problems due to their scalable and…
Many strategic decision-making problems, such as environment design for warehouse robots, can be naturally formulated as bi-level reinforcement learning (RL), where a leader agent optimizes its objective while a follower solves a Markov…
To overcome the curses of dimensionality and modeling of Dynamic Programming (DP) methods to solve Markov Decision Process (MDP) problems, Reinforcement Learning (RL) methods are adopted in practice. Contrary to traditional RL algorithms…
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…
Deep reinforcement learning (DRL) finds extensive application in autonomous drone navigation within complex, high-risk environments. However, its practical deployment faces a safety-exploration dilemma: soft penalty mechanisms encourage…
To obtain better value estimation in reinforcement learning, we propose a novel algorithm based on the double actor-critic framework with temporal difference error-driven regularization, abbreviated as TDDR. TDDR employs double actors, with…
Trajectory optimization is an efficient approach for solving optimal control problems for complex robotic systems. It relies on two key components: first the transcription into a sparse nonlinear program, and second the corresponding solver…