Related papers: Reinforcement Learning for Jump-Diffusions, with F…
Reinforcement learning (RL) struggles to scale to large, combinatorial action spaces common in many real-world problems. This paper introduces a novel framework for training discrete diffusion models as highly effective policies in these…
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…
We study the continuous-time counterpart of Q-learning for reinforcement learning (RL) under the entropy-regularized, exploratory diffusion process formulation introduced by Wang et al. (2020). As the conventional (big) Q-function collapses…
Reinforcement learning from human feedback (RLHF), which aligns a diffusion model with input prompt, has become a crucial step in building reliable generative AI models. Most works in this area use a discrete-time formulation, which is…
Diffusion models are powerful generative models that allow for precise control over the characteristics of the generated samples. While these diffusion models trained on large datasets have achieved success, there is often a need to…
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynamics may depend on both the state and control. Based on…
Reinforcement Learning from human feedback (RLHF) has been shown a promising direction for aligning generative models with human intent and has also been explored in recent works for alignment of diffusion generative models. In this work,…
This dissertation investigates how reinforcement learning (RL) methods can be designed to be safe, sample-efficient, and robust. Framed through the unifying perspective of contextual-bandit RL, the work addresses two major application…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entropy regularization where the agent randomizes both the timing…
Robustness to modeling errors and uncertainties remains a central challenge in reinforcement learning (RL). In this work, we address this challenge by leveraging diffusion models to train robust RL policies. Diffusion models have recently…
This paper employs a policy iteration reinforcement learning (RL) method to study continuous-time linear-quadratic mean-field control problems in infinite horizon. The drift and diffusion terms in the dynamics involve the states, the…
We study reinforcement learning (RL) for a class of continuous-time linear-quadratic (LQ) control problems for diffusions, where states are scalar-valued and running control rewards are absent but volatilities of the state processes depend…
Reinforcement learning (RL) is currently one of the most prominent methods for optimizing dynamical systems, with breakthrough results across various fields. The framework is based on the concept of a Markov decision process (MDP), leading…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
Diffusion models have emerged as powerful tools for generative modeling, demonstrating exceptional capability in capturing target data distributions from large datasets. However, fine-tuning these massive models for specific downstream…
Hierarchical reinforcement learning (HRL) learns to make decisions on multiple levels of temporal abstraction. A key challenge in HRL is that the low-level policy changes over time, making it difficult for the high-level policy to generate…
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,…
Distributional reinforcement learning (DRL) enhances the understanding of the effects of the randomness in the environment by letting agents learn the distribution of a random return, rather than its expected value as in standard RL. At the…
The rapid changes in the finance industry due to the increasing amount of data have revolutionized the techniques on data processing and data analysis and brought new theoretical and computational challenges. In contrast to classical…