Related papers: Semismooth Newton Methods for Risk-Averse Markov D…

We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…

In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…

We develop a randomized Newton's method for solving differential equations, based on a fully connected neural network discretization. In particular, the randomized Newton's method randomly chooses equations from the overdetermined nonlinear…

We establish a collection of closed-loop guarantees and propose a scalable optimization algorithm for distributionally robust model predictive control (DRMPC) applied to linear systems, convex constraints, and quadratic costs. Via standard…

A honeynet is a promising active cyber defense mechanism. It reveals the fundamental Indicators of Compromise (IoCs) by luring attackers to conduct adversarial behaviors in a controlled and monitored environment. The active interaction at…

We study the problem of solving fixed-point equations for seminorm-contractive operators and establish foundational results on the non-asymptotic behavior of iterative algorithms in both deterministic and stochastic settings. Specifically,…

In this paper, we present an efficient semismooth Newton method, named SSNCP, for solving a class of semidefinite programming problems. Our approach is rooted in an equivalent semismooth system derived from the saddle point problem induced…

We present a method to solve a special class of parameter identification problems for an elliptic optimal control problem to global optimality. The bilevel problem is reformulated via the optimal-value function of the lower-level problem.…

We consider risk-sensitive Markov decision processes (MDPs), where the MDP model is influenced by a parameter which takes values in a compact metric space. We identify sufficient conditions under which small perturbations in the model…

This work unifies the analysis of various randomized methods for solving linear and nonlinear inverse problems by framing the problem in a stochastic optimization setting. By doing so, we show that many randomized methods are variants of a…

Sequential decision making using Markov Decision Process underpins many realworld applications. Both model-based and model free methods have achieved strong results in these settings. However, real-world tasks must balance reward…

Reinforcement learning has achieved great success in many decision-making tasks, and traditional reinforcement learning algorithms are mainly designed for obtaining a single optimal solution. However, recent works show the importance of…

This paper studies the remote estimation of multiple Markov sources over a lossy and rate-constrained channel. Unlike most existing studies that treat all source states equally, we exploit the \emph{semantics of information} and consider…

In this work, we focus on the problem of safe policy transfer in reinforcement learning: we seek to leverage existing policies when learning a new task with specified constraints. This problem is important for safety-critical applications…

In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…

Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…

We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…

We consider the task of solving generic inverse problems, where one wishes to determine the hidden parameters of a natural system that will give rise to a particular set of measurements. Recently many new approaches based upon deep learning…

We consider the convergence of iterative solvers for problems of nonlinear magnetostatics. Using the equivalence to an underlying minimization problem, we can establish global linear convergence of a large class of methods, including the…

Model Predictive Control (MPC) is a powerful framework for constrained control, but its performance and safety can be severely degraded when the prediction model is learned online and thus remains uncertain. In this work, we develop a…