Related papers: Robust Control with Gradient Uncertainty
We address the crucial yet underexplored stability properties of the Hamilton--Jacobi--Bellman (HJB) equation in model-free reinforcement learning contexts, specifically for Lipschitz continuous optimal control problems. We bridge the gap…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
In recent times, a variety of Reinforcement Learning (RL) algorithms have been proposed for optimal tracking problem of continuous time nonlinear systems with input constraints. Most of these algorithms are based on the notion of uniform…
We study robust reinforcement learning (RL) with the goal of determining a well-performing policy that is robust against model mismatch between the training simulator and the testing environment. Previous policy-based robust RL algorithms…
We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general and…
We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non standard class of switching controls introduced in this paper.…
Safety is a primary concern when applying reinforcement learning to real-world control tasks, especially in the presence of external disturbances. However, existing safe reinforcement learning algorithms rarely account for external…
A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosity solutions to the corresponding upper and lower…
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a…
Deploying reinforcement learning (RL) systems requires robustness to uncertainty and model misspecification, yet prior robust RL methods typically only study noise introduced independently across time. However, practical sources of…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
As we aim to control complex systems, use of a simulator in model-based reinforcement learning is becoming more common. However, it has been challenging to overcome the Reality Gap, which comes from nonlinear model bias and susceptibility…
This paper proposes a novel robust reinforcement learning framework for discrete-time linear systems with model mismatch that may arise from the sim-to-real gap. A key strategy is to invoke advanced techniques from control theory. Using the…
We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…
Robust Reinforcement Learning aims to derive optimal behavior that accounts for model uncertainty in dynamical systems. However, previous studies have shown that by considering the worst case scenario, robust policies can be overly…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
Considering that the decision-making environment faced by reinforcement learning (RL) agents is full of Knightian uncertainty, this paper describes the exploratory state dynamics equation in Knightian uncertainty to study the…
This paper presents a robust reinforcement learning algorithm called robust deterministic policy gradient (RDPG), which reformulates the H-infinity control problem as a two-player zero-sum dynamic game between a user and an adversary. The…
This note lays part of the theoretical ground for a definition of differential systems modeling reinforcement learning in continuous time non-Markovian rough environments. Specifically we focus on optimal relaxed control of rough equations…
Robust control of mechanical systems with multiple uncertainties remains a fundamental challenge, particularly when nonlinear dynamics and operating-condition variations are intricately intertwined. Although deep reinforcement learning…