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This paper introduces a dual-based algorithm framework for solving the regularized online resource allocation problems, which have potentially non-concave cumulative rewards, hard resource constraints, and a non-separable regularizer. Under…
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
Several important problem settings within the literature of reinforcement learning (RL), such as meta-learning, hierarchical learning, and RL from human feedback (RL-HF), can be modelled as bilevel RL problems. A lot has been achieved in…
Offline reinforcement learning (RL) defines a sample-efficient learning paradigm, where a policy is learned from static and previously collected datasets without additional interaction with the environment. The major obstacle to offline RL…
Recent developments in linear system identification have proposed the use of non-parameteric methods, relying on regularization strategies, to handle the so-called bias/variance trade-off. This paper introduces an impulse response estimator…
In this paper we consider a stochastic heavy-ball method for solving linear ill-posed inverse problems. With suitable choices of the step-sizes and the momentum coefficients, we establish the regularization property of the method under {\it…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
Deep Reinforcement Learning (RL) has shown remarkable success in robotics with complex and heterogeneous dynamics. However, its vulnerability to unknown disturbances and adversarial attacks remains a significant challenge. In this paper, we…
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…
One of the central questions in control theory is achieving stability through feedback control. This paper introduces a novel approach that combines Reinforcement Learning (RL) with mathematical analysis to address this challenge, with a…
Offline (or batch) reinforcement learning (RL) algorithms seek to learn an optimal policy from a fixed dataset without active data collection. Based on the composition of the offline dataset, two main categories of methods are used:…
In this work we address the problem of performing a repetitive task when we have uncertain observations and dynamics. We formulate this problem as an iterative infinite horizon optimal control problem with output feedback. Previously, this…
Inverse reinforcement learning (IRL) has become a useful tool for learning behavioral models from demonstration data. However, IRL remains mostly unexplored for multi-agent systems. In this paper, we show how the principle of IRL can be…
We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered problems have only a viscosity solution, to which, fortunately,…
This paper proposes a safe reinforcement learning (RL) framework based on forward-invariance-induced action-space design. The control problem is cast as a Markov decision process, but instead of relying on runtime shielding or penalty-based…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
Learning complex policies with Reinforcement Learning (RL) is often hindered by instability and slow convergence, a problem exacerbated by the difficulty of reward engineering. Imitation Learning (IL) from expert demonstrations bypasses…
The goal of the Inverse reinforcement learning (IRL) task is to identify the underlying reward function and the corresponding optimal policy from a set of expert demonstrations. While most IRL algorithms' theoretical guarantees rely on a…
In this paper, we develop a safe decision-making method for self-driving cars in a multi-lane, single-agent setting. The proposed approach utilizes deep reinforcement learning (RL) to achieve a high-level policy for safe tactical…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…