Related papers: Reinforcement Learning for a Discrete-Time Linear-…
This paper studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model makes more general assumptions about the asset's return…
We consider reinforcement learning (RL) in continuous time and study the problem of achieving the best trade-off between exploration of a black box environment and exploitation of current knowledge. We propose an entropy-regularized reward…
This paper studies the discrete-time linear-quadratic-Gaussian mean field (MF) social control problem in an infinite horizon, where the dynamics of all agents are unknown. The objective is to design a reinforcement learning (RL) algorithm…
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploitation, and is formulated as an entropy-regularized, relaxed…
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…
This work uses the entropy-regularised relaxed stochastic control perspective as a principled framework for designing reinforcement learning (RL) algorithms. Herein agent interacts with the environment by generating noisy controls…
Reinforcement learning (RL) has been successfully used to solve many continuous control tasks. Despite its impressive results however, fundamental questions regarding the sample complexity of RL on continuous problems remain open. We study…
Reinforcement learning (RL) is used to directly design a control policy using data collected from the system. This paper considers the robustness of controllers trained via model-free RL. The discussion focuses on the standard model-based…
This paper studies the robustness of reinforcement learning algorithms to errors in the learning process. Specifically, we revisit the benchmark problem of discrete-time linear quadratic regulation (LQR) and study the long-standing open…
Reinforcement learning is a model-free optimal control method that optimizes a control policy through direct interaction with the environment. For reaching tasks that end in regulation, popular discrete-action methods are not well suited…
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to the structure of risk-sensitive investment management…
We study reinforcement learning (RL) for the same class of continuous-time stochastic linear--quadratic (LQ) control problems as in \cite{huang2024sublinear}, where volatilities depend on both states and controls while states are…
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…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio management, with known and unknown model parameters, that…
Distributed optimal control is known to be challenging and can become intractable even for linear-quadratic regulator problems. In this work, we study a special class of such problems where distributed state feedback controllers can give…
This paper proposes a novel robust reinforcement learning framework for discrete-time linear systems with model mismatch that may arise from the sim-to-real gap. A key strategy is to invoke advanced techniques from control theory. Using the…
This paper introduces and analyzes an improved Q-learning algorithm for discrete-time linear time-invariant systems. The proposed method does not require any knowledge of the system dynamics, and it enjoys significant efficiency advantages…
This paper studies the linear quadratic regulation (LQR) problem of unknown discrete-time systems via dynamic output feedback learning control. In contrast to the state feedback, the optimality of the dynamic output feedback control for…