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We study model-free learning methods for the output-feedback Linear Quadratic (LQ) control problem in finite-horizon subject to subspace constraints on the control policy. Subspace constraints naturally arise in the field of distributed…
State-of-the-art model-based Reinforcement Learning (RL) approaches either use gradient-free, population-based methods for planning, learned policy networks, or a combination of policy networks and planning. Hybrid approaches that combine…
In this paper, we propose an efficient implementation of deep policy gradient method (PGM) for optimal control problems in continuous time. The proposed method has the ability to manage the allocation of computational resources, number of…
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…
It is known that reinforcement learning (RL) is data-hungry. To improve sample-efficiency of RL, it has been proposed that the learning algorithm utilize data from 'approximately similar' processes. However, since the process models are…
Policy gradient methods are among the most effective methods for large-scale reinforcement learning, and their empirical success has prompted several works that develop the foundation of their global convergence theory. However, prior works…
Many of the challenges facing today's reinforcement learning (RL) algorithms, such as robustness, generalization, transfer, and computational efficiency are closely related to compression. Prior work has convincingly argued why minimizing…
Reinforcement Learning (RL) has emerged as a powerful paradigm in Artificial Intelligence (AI), enabling agents to learn optimal behaviors through interactions with their environments. Drawing from the foundations of trial and error, RL…
Policy gradient methods, where one searches for the policy of interest by maximizing the value functions using first-order information, become increasingly popular for sequential decision making in reinforcement learning, games, and…
This paper presents a model-free reinforcement learning (RL) algorithm to solve the risk-averse optimal control (RAOC) problem for discrete-time nonlinear systems. While successful RL algorithms have been presented to learn optimal control…
The objective in a traditional reinforcement learning (RL) problem is to find a policy that optimizes the expected value of a performance metric such as the infinite-horizon cumulative discounted or long-run average cost/reward. In…
We study the convergence of deterministic policy gradient algorithms in continuous state and action space for the prototypical Linear Quadratic Regulator (LQR) problem when the search space is not limited to the family of linear policies.…
In performative Reinforcement Learning (RL), an agent faces a policy-dependent environment: the reward and transition functions depend on the agent's policy. Prior work on performative RL has studied the convergence of repeated retraining…
We present new policy mirror descent (PMD) methods for solving reinforcement learning (RL) problems with either strongly convex or general convex regularizers. By exploring the structural properties of these overall highly nonconvex…
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…
Policy gradient lies at the core of deep reinforcement learning (RL) in continuous domains. Despite much success, it is often observed in practice that RL training with policy gradient can fail for many reasons, even on standard control…
We investigate an entropy-regularized reinforcement learning (RL) approach to optimal stopping problems motivated by real option models. Classical stopping rules are strict and non-randomized, limiting natural exploration in RL settings. To…
We investigate the challenge of parametrizing policies for reinforcement learning (RL) in high-dimensional continuous action spaces. Our objective is to develop a multimodal policy that overcomes limitations inherent in the commonly-used…
Post-deployment machine learning algorithms often influence the environments they act in, and thus shift the underlying dynamics that the standard reinforcement learning (RL) methods ignore. While designing optimal algorithms in this…
Reinforcement learning (RL) promises a framework for near-universal problem-solving. In practice however, RL algorithms are often tailored to specific benchmarks, relying on carefully tuned hyperparameters and algorithmic choices. Recently,…