Related papers: Data-Driven Exploration for a Class of Continuous-…
We study reinforcement learning (RL) for a class of continuous-time linear-quadratic (LQ) control problems for diffusions, where states are scalar-valued and running control rewards are absent but volatilities of the state processes depend…
Model-free approaches for reinforcement learning (RL) and continuous control find policies based only on past states and rewards, without fitting a model of the system dynamics. They are appealing as they are general purpose and easy to…
Reinforcement learning (RL) is a class of artificial intelligence algorithms being used to design adaptive optimal controllers through online learning. This paper presents a model-free, real-time, data-efficient Q-learning-based algorithm…
We study the discrete-time linear-quadratic (LQ) control model using reinforcement learning (RL). Using entropy to measure the cost of exploration, we prove that the optimal feedback policy for the problem must be Gaussian type. Then, we…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
We develop a probabilistic framework for analysing model-based reinforcement learning in the episodic setting. We then apply it to study finite-time horizon stochastic control problems with linear dynamics but unknown coefficients and…
We consider model-free reinforcement learning (RL) in non-stationary Markov decision processes. Both the reward functions and the state transition functions are allowed to vary arbitrarily over time as long as their cumulative variations do…
We study the constrained reinforcement learning problem, in which an agent aims to maximize the expected cumulative reward subject to a constraint on the expected total value of a utility function. In contrast to existing model-based…
In this work, we study model-based reinforcement learning (RL) in unknown stabilizable linear dynamical systems. When learning a dynamical system, one needs to stabilize the unknown dynamics in order to avoid system blow-ups. We propose an…
The exploration-exploitation dilemma in reinforcement learning (RL) is a fundamental challenge to efficient RL algorithms. Existing algorithms for finite state and action discounted RL problems address this by assuming sufficient…
Reward-free exploration is a reinforcement learning setting studied by Jin et al. (2020), who address it by running several algorithms with regret guarantees in parallel. In our work, we instead give a more natural adaptive approach for…
Model-free reinforcement learning (RL) algorithms, such as Q-learning, directly parameterize and update value functions or policies without explicitly modeling the environment. They are typically simpler, more flexible to use, and thus more…
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…
We consider reinforcement learning (RL) in continuous time and study the problem of achieving the best trade-off between exploration of a black box environment and exploitation of current knowledge. We propose an entropy-regularized reward…
Reinforcement learning algorithms typically consider discrete-time dynamics, even though the underlying systems are often continuous in time. In this paper, we introduce a model-based reinforcement learning algorithm that represents…
In reinforcement learning (RL) algorithms, exploratory control inputs are used during learning to acquire knowledge for decision making and control, while the true dynamics of a controlled object is unknown. However, this exploring property…
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio management, with known and unknown model parameters, that…
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…
This paper proposes a novel approach for Asset-Liability Management (ALM) by employing continuous-time Reinforcement Learning (RL) with a linear-quadratic (LQ) formulation that incorporates both interim and terminal objectives. We develop a…
We propose a reinforcement learning (RL) framework for the dynamic selection of the filter parameter in Evolve-Filter (EF) regularization strategies for incompressible turbulent flows. Instead of prescribing the filter radius heuristically,…