Related papers: Consensus Based Stochastic Control
Learning-based model predictive control (MPC) is an approach designed to reduce the computational cost of MPC. In this paper, a constrained deep neural network (DNN) design is proposed to learn MPC policy for nonlinear systems. Using…
Stochastic optimization finds a wide range of applications in operations research and management science. However, existing stochastic optimization techniques usually require the information of random samples (e.g., demands in the…
Stochastic-gradient-based optimization has been a core enabling methodology in applications to large-scale problems in machine learning and related areas. Despite the progress, the gap between theory and practice remains significant, with…
Model predictive control (MPC) is an effective method for controlling robotic systems, particularly autonomous aerial vehicles such as quadcopters. However, application of MPC can be computationally demanding, and typically requires…
We develop a framework for the analysis of deep neural networks and neural ODE models that are trained with stochastic gradient algorithms. We do that by identifying the connections between control theory, deep learning and theory of…
This paper presents an algorithmic framework for solving unconstrained stochastic optimization problems using only stochastic function evaluations. We employ central finite-difference based gradient estimation methods to approximate the…
We improve recently introduced consensus-based optimization method, proposed in [R. Pinnau, C. Totzeck, O. Tse and S. Martin, Math. Models Methods Appl. Sci., 27(01):183--204, 2017], which is a gradient-free optimization method for general…
We consider reinforcement learning (RL) methods for finding optimal policies in linear quadratic (LQ) mean field control (MFC) problems over an infinite horizon in continuous time, with common noise and entropy regularization. We study…
Deep reinforcement learning in continuous domains focuses on learning control policies that map states to distributions over actions that ideally concentrate on the optimal choices in each step. In multi-agent navigation problems, the…
Climate-controlled cabins have for decades been standard in vehicles. Model Predictive Controllers (MPCs) have shown promising results in achieving temperature tracking in vehicle cabins and may improve upon model-free control performance.…
Policy gradient (PG) methods are a widely used reinforcement learning methodology in many applications such as video games, autonomous driving, and robotics. In spite of its empirical success, a rigorous understanding of the global…
We consider large-scale Markov decision processes (MDPs) with an unknown cost function and employ stochastic convex optimization tools to address the problem of imitation learning, which consists of learning a policy from a finite set of…
This work puts forward a novel numerical approach for solving the stochastic optimal control problem (SOCP) and the mean field control (MFC) problem using projection algorithm inspired by the stochastic maximum principle (SMP) which is also…
Many machine learning problems involve Monte Carlo gradient estimators. As a prominent example, we focus on Monte Carlo variational inference (MCVI) in this paper. The performance of MCVI crucially depends on the variance of its stochastic…
Current approaches to model-based offline reinforcement learning often incorporate uncertainty-based reward penalization to address the distributional shift problem. These approaches, commonly known as pessimistic value iteration, use Monte…
Multi-objective Markov decision processes are a special kind of multi-objective optimization problem that involves sequential decision making while satisfying the Markov property of stochastic processes. Multi-objective reinforcement…
We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…
Approximate inference in complex probabilistic models such as deep Gaussian processes requires the optimisation of doubly stochastic objective functions. These objectives incorporate randomness both from mini-batch subsampling of the data…
Recent works in high-dimensional model-predictive control and model-based reinforcement learning with learned dynamics and reward models have resorted to population-based optimization methods, such as the Cross-Entropy Method (CEM), for…
We propose RSO (random search optimization), a gradient free Markov Chain Monte Carlo search based approach for training deep neural networks. To this end, RSO adds a perturbation to a weight in a deep neural network and tests if it reduces…