Related papers: Improved Monte Carlo Planning via Causal Disentang…

We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…

The recently-introduced self-learning Monte Carlo method is a general-purpose numerical method that speeds up Monte Carlo simulations by training an effective model to propose uncorrelated configurations in the Markov chain. We implement…

We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…

Today's automated vehicles lack the ability to cooperate implicitly with others. This work presents a Monte Carlo Tree Search (MCTS) based approach for decentralized cooperative planning using macro-actions for automated vehicles in…

Monte-Carlo tree search (MCTS) has driven many recent breakthroughs in deep reinforcement learning (RL). However, scaling MCTS to parallel compute has proven challenging in practice which has motivated alternative planners like sequential…

This paper presents an algorithmic study and complexity analysis for solving distributionally robust multistage convex optimization (DR-MCO). We generalize the usual consecutive dual dynamic programming (DDP) algorithm to DR-MCO and propose…

Interpretable reinforcement learning policies are essential for high-stakes decision-making, yet optimizing decision tree policies in Markov Decision Processes (MDPs) remains challenging. We propose SPOT, a novel method for computing…

We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…

In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…

Real-world distributed systems and networks are often unreliable and subject to random failures of its components. Such a stochastic behavior affects adversely the complexity of optimization tasks performed routinely upon such systems, in…

Currently, large partially observable Markov decision processes (POMDPs) are often solved by sampling-based online methods which interleave planning and execution phases. However, a pre-computed offline policy is more desirable in POMDP…

The combination of exponentially large action spaces, stochastic dynamics, and long-horizon decision-making under limited resources makes Sequential Stochastic Combinatorial Optimization (SSCO) particularly challenging for reinforcement…

The key assumption underlying linear Markov Decision Processes (MDPs) is that the learner has access to a known feature map $\phi(x, a)$ that maps state-action pairs to $d$-dimensional vectors, and that the rewards and transitions are…

Gradient-based methods are often used for policy optimization in deep reinforcement learning, despite being vulnerable to local optima and saddle points. Although gradient-free methods (e.g., genetic algorithms or evolution strategies) help…

Piecewise deterministic Markov processes (PDMPs) are a type of continuous-time Markov process that combine deterministic flows with jumps. Recently, PDMPs have garnered attention within the Monte Carlo community as a potential alternative…

The ability of a robot to plan complex behaviors with real-time computation, rather than adhering to predesigned or offline-learned routines, alleviates the need for specialized algorithms or training for each problem instance. Monte Carlo…

Efficient sampling of many-dimensional and multimodal density functions is a task of great interest in many research fields. We describe an algorithm that allows parallelizing inherently serial Markov chain Monte Carlo (MCMC) sampling by…

In this article, we discuss how to solve information-gathering problems expressed as rho-POMDPs, an extension of Partially Observable Markov Decision Processes (POMDPs) whose reward rho depends on the belief state. Point-based approaches…

Robust Markov Decision Processes (MDPs) are receiving much attention in learning a robust policy which is less sensitive to environment changes. There are an increasing number of works analyzing sample-efficiency of robust MDPs. However,…

In this work, we study discrete-time Markov decision processes (MDPs) under constraints with Borel state and action spaces and where all the performance functions have the same form of the expected total reward (ETR) criterion over the…