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Reinforcement learning (RL) algorithms for real-world robotic applications need a data-efficient learning process and the ability to handle complex, unknown dynamical systems. These requirements are handled well by model-based and…
This article studies inverse reinforcement learning (IRL) for the stochastic linear-quadratic optimal control problem, where two agents are considered. A learner agent does not know the expert agent's performance cost function, but it…
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…
This manuscript surveys reinforcement learning from the perspective of optimization and control with a focus on continuous control applications. It surveys the general formulation, terminology, and typical experimental implementations of…
This paper proposes an on-policy reinforcement learning (RL) control algorithm that solves the optimal regulation problem for a class of uncertain continuous-time nonlinear systems under user-defined state constraints. We formulate the safe…
In this paper, the reinforcement learning (RL)-based optimal control problem is studied for multiplicative-noise systems, where input delay is involved and partial system dynamics is unknown. To solve a variant of Riccati-ZXL equations,…
Model-free Reinforcement Learning (RL) works well when experience can be collected cheaply and model-based RL is effective when system dynamics can be modeled accurately. However, both assumptions can be violated in real world problems such…
First-order methods for quadratic optimization such as OSQP are widely used for large-scale machine learning and embedded optimal control, where many related problems must be rapidly solved. These methods face two persistent challenges:…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV…
Linear dynamical systems that obey stochastic differential equations are canonical models. While optimal control of known systems has a rich literature, the problem is technically hard under model uncertainty and there are hardly any…
In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that includes widely-used financial regulations such as short-selling…
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…
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…
This paper introduces a novel data-driven approach to design a linear quadratic regulator (LQR) using a reinforcement learning (RL) algorithm that does not require a system model. The key contribution is to perform policy iteration (PI) by…
Reinforcement learning is commonly used with function approximation. However, very few positive results are known about the convergence of function approximation based RL control algorithms. In this paper we show that TD(0) and Sarsa(0)…
Inverse reinforcement learning (IRL) for linear systems seeks a cost function whose optimal controller reproduces an expert policy from data. Existing data-driven methods for discrete-time linear systems are largely built on iterative…
In this paper, we study the problem of regret minimization in reinforcement learning (RL) under differential privacy constraints. This work is motivated by the wide range of RL applications for providing personalized service, where privacy…
We propose a model-based reinforcement learning (RL) approach for noisy time-dependent gate optimization with improved sample complexity over model-free RL. Sample complexity is the number of controller interactions with the physical…
This paper addresses the problem of learning optimal control policies for systems with uncertain dynamics and high-level control objectives specified as Linear Temporal Logic (LTL) formulas. Uncertainty is considered in the workspace…