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Learning policies in an asynchronous parallel way is essential to the numerous successes of RL for solving large-scale problems. However, their convergence performance is still not rigorously evaluated. To this end, we adopt the…

Flow $Q$-learning has recently been introduced to integrate learning from expert demonstrations into an actor-critic structure. Central to this innovation is the ``the one-step policy'' network, which is optimized through a $Q$-function…

Traditional control theory-based methods require tailored engineering for each system and constant fine-tuning. In power plant control, one often needs to obtain a precise representation of the system dynamics and carefully design the…

In this paper, we study the problem of robust cooperative multi-agent reinforcement learning (RL) where a large number of cooperative agents with distributed information aim to learn policies in the presence of \emph{stochastic} and…

Among the many variants of RL, an important class of problems is where the state and action spaces are continuous -- autonomous robots, autonomous vehicles, optimal control are all examples of such problems that can lend themselves…

In recent years, on-policy reinforcement learning (RL) has been successfully applied to many different continuous control tasks. While RL algorithms are often conceptually simple, their state-of-the-art implementations take numerous low-…

In this paper, an off-policy reinforcement learning algorithm is designed to solve the continuous-time LQR problem using only input-state data measured from the system. Different from other algorithms in the literature, we propose the use…

We propose a reinforcement learning (RL)-based algorithm to jointly train (1) a trajectory planner and (2) a tracking controller in a layered control architecture. Our algorithm arises naturally from a rewrite of the underlying optimal…

A novel Policy Gradient (PG) algorithm, called $\textit{Matryoshka Policy Gradient}$ (MPG), is introduced and studied, in the context of fixed-horizon max-entropy reinforcement learning, where an agent aims at maximizing entropy bonuses…

Policy gradient methods are among the most effective methods in challenging reinforcement learning problems with large state and/or action spaces. However, little is known about even their most basic theoretical convergence properties,…

Reinforcement learning (RL) has achieved significant success across a wide range of domains, however, most existing methods are formulated in discrete time. In this work, we introduce a novel RL method for continuous-time control, where…

ReParameterization (RP) Policy Gradient Methods (PGMs) have been widely adopted for continuous control tasks in robotics and computer graphics. However, recent studies have revealed that, when applied to long-term reinforcement learning…

We evaluate benchmark deep reinforcement learning algorithms on the task of portfolio optimisation using simulated data. The simulator to generate the data is based on correlated geometric Brownian motion with the Bertsimas-Lo market impact…

Activities in reinforcement learning (RL) revolve around learning the Markov decision process (MDP) model, in particular, the following parameters: state values, V; state-action values, Q; and policy, pi. These parameters are commonly…

To overcome the curse of dimensionality and curse of modeling in Dynamic Programming (DP) methods for solving classical Markov Decision Process (MDP) problems, Reinforcement Learning (RL) algorithms are popular. In this paper, we consider…

We develop a framework for the analysis of deep neural networks and neural ODE models that are trained with stochastic gradient algorithms. We do that by identifying the connections between control theory, deep learning and theory of…

This paper investigates the continuous-time counterpart of the Q-function for entropy-regularized mean-field control (MFC) with controlled common noise, coined as q-function by Jia and Zhou (2023) in the single agent's model. We first show…

We study reinforcement learning in infinite-horizon discounted Markov decision processes with continuous state spaces, where data are generated online from a single trajectory under a Markovian behavior policy. To avoid maintaining an…

A gradient-based method is proposed for solving the linear quadratic regulator (LQR) problem for linear systems with nonlinear dependence on time-invariant probabilistic parametric uncertainties. The approach explicitly accounts for model…

We study reinforcement learning (RL) in the setting of continuous time and space, for an infinite horizon with a discounted objective and the underlying dynamics driven by a stochastic differential equation. Built upon recent advances in…