Related papers: Pontryagin-Guided Policy Optimization for Merton's…

We introduce the Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for high-dimensional continuous-time portfolio choice. Our approach combines Pontryagin's Maximum Principle (PMP) with backpropagation through time (BPTT) to…

We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural policies with Pontryagin's Maximum Principle (PMP) and enforces…

Most value-based and actor--critic reinforcement learning methods rely on Bellman-style recursions, yet these recursions collapse under non-exponential discounting common in human preferences and survival processes. We show the breakdown is…

Solving real-world optimal control problems are challenging tasks, as the complex, high-dimensional system dynamics are usually unrevealed to the decision maker. It is thus hard to find the optimal control actions numerically. To deal with…

Novel advanced policy gradient (APG) methods, such as Trust Region policy optimization and Proximal policy optimization (PPO), have become the dominant reinforcement learning algorithms because of their ease of implementation and good…

We study continuous action reinforcement learning problems in which it is crucial that the agent interacts with the environment only through safe policies, i.e.,~policies that do not take the agent to undesirable situations. We formulate…

The continuous dynamical system approach to deep learning is explored in order to devise alternative frameworks for training algorithms. Training is recast as a control problem and this allows us to formulate necessary optimality conditions…

In the paper, we design a novel Bregman gradient policy optimization framework for reinforcement learning based on Bregman divergences and momentum techniques. Specifically, we propose a Bregman gradient policy optimization (BGPO) algorithm…

We study the problem of computing an optimal policy of an infinite-horizon discounted constrained Markov decision process (constrained MDP). Despite the popularity of Lagrangian-based policy search methods used in practice, the oscillation…

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…

Proximal policy optimization (PPO) is one of the most successful deep reinforcement-learning methods, achieving state-of-the-art performance across a wide range of challenging tasks. However, its optimization behavior is still far from…

Novel advanced policy gradient (APG) algorithms, such as proximal policy optimization (PPO), trust region policy optimization, and their variations, have become the dominant reinforcement learning (RL) algorithms because of their ease of…

In this article we derive a Pontryagin maximum principle (PMP) for discrete-time optimal control problems on matrix Lie groups. The PMP provides first order necessary conditions for optimality; these necessary conditions typically yield two…

We introduce a new algorithm to solve constrained nonlinear optimal control problem, with an emphasis on low-thrust trajectory in highly nonlinear dynamics. The algorithm, dubbed Pontryagin-Bellman Differential Dynamic Programming (PDDP),…

In this paper, we propose novel learning frameworks to tackle optimal control problems by applying the Pontryagin maximum principle and then solving for a Hamiltonian dynamical system. Applying the Pontryagin maximum principle to the…

We address the problem of finding the optimal policy of a constrained Markov decision process (CMDP) using a gradient descent-based algorithm. Previous results have shown that a primal-dual approach can achieve an $\mathcal{O}(1/\sqrt{T})$…

In this paper, we implement three state-of-art continuous reinforcement learning algorithms, Deep Deterministic Policy Gradient (DDPG), Proximal Policy Optimization (PPO) and Policy Gradient (PG)in portfolio management. All of them are…

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…

This paper develops a Pontryagin Differentiable Programming (PDP) methodology, which establishes a unified framework to solve a broad class of learning and control tasks. The PDP distinguishes from existing methods by two novel techniques:…

We present a neural network approach for approximating the value function of high-dimensional stochastic control problems. Our training process simultaneously updates our value function estimate and identifies the part of the state space…