Related papers: Consensus Based Stochastic Control

We introduce contextual stochastic bilevel optimization (CSBO) -- a stochastic bilevel optimization framework with the lower-level problem minimizing an expectation conditioned on some contextual information and the upper-level decision…

Diffusion models excel in generative tasks, but aligning them with specific objectives while maintaining their versatility remains challenging. Existing fine-tuning methods often suffer from reward over-optimization, while approximate…

Model-based reinforcement learning algorithms tend to achieve higher sample efficiency than model-free methods. However, due to the inevitable errors of learned models, model-based methods struggle to achieve the same asymptotic performance…

In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…

We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…

How should we intervene on an unknown structural equation model to maximize a downstream variable of interest? This setting, also known as causal Bayesian optimization (CBO), has important applications in medicine, ecology, and…

We introduce a novel algorithm for gradient-based optimization of stochastic objective functions. The method may be seen as a variant of SGD with momentum equipped with an adaptive learning rate automatically adjusted by an 'energy'…

Active noise control (ANC) is an effective approach to noise suppression, and the filtered-reference least mean square (FxLMS) algorithm is a widely adopted method in ANC systems, owing to its computational efficiency and stable…

We consider the popular tree-based search strategy within the framework of reinforcement learning, the Monte Carlo Tree Search (MCTS), in the context of finite-horizon Markov decision process. We propose a dynamic sampling tree policy that…

This paper studies a policy optimization problem arising from collaborative multi-agent reinforcement learning in a decentralized setting where agents communicate with their neighbors over an undirected graph to maximize the sum of their…

Reinforcement learning can acquire complex behaviors from high-level specifications. However, defining a cost function that can be optimized effectively and encodes the correct task is challenging in practice. We explore how inverse optimal…

Large Language Models (LLMs) are increasingly aligned with human preferences through Reinforcement Learning from Human Feedback (RLHF). Among RLHF methods, Group Relative Policy Optimization (GRPO) has gained attention for its simplicity…

Optimal decision-making under partial observability requires agents to balance reducing uncertainty (exploration) against pursuing immediate objectives (exploitation). In this paper, we introduce a novel policy optimization framework for…

We present stochastic consensus and convergence of the discrete consensus-based optimization (CBO) algorithm with random batch interactions and heterogeneous external noises. Despite the wide applications and successful performance in many…

We introduce a modified Consensus-Based Optimization model that admits a fully unified and rigorous analysis of its finite-particle dynamics, the associated McKean--Vlasov equation, and their optimization behavior under a single set of…

We consider the problem of decentralized deep learning where multiple agents collaborate to learn from a distributed dataset. While there exist several decentralized deep learning approaches, the majority consider a central parameter-server…

We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…

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…

Prediction models are typically optimized independently from decision optimization. A smart predict then optimize (SPO) framework optimizes prediction models to minimize downstream decision regret. In this paper we present dboost, the first…

We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic…