Related papers: Online Bayesian Risk-Averse Reinforcement Learning

Online restless multi-armed bandits (RMABs) typically assume that each arm follows a stationary Markov Decision Process (MDP) with fixed state transitions and rewards. However, in real-world applications like healthcare and recommendation…

Robust Markov Decision Processes (RMDPs) have received significant research interest, offering an alternative to standard Markov Decision Processes (MDPs) that often assume fixed transition probabilities. RMDPs address this by optimizing…

In the reinforcement learning literature, there are many algorithms developed for either Contextual Bandit (CB) or Markov Decision Processes (MDP) environments. However, when deploying reinforcement learning algorithms in the real world,…

Bayesian reinforcement learning (BRL) encodes prior knowledge of the world in a model and represents uncertainty in model parameters by maintaining a probability distribution over them. This paper presents Monte Carlo BRL (MC-BRL), a simple…

We present a Bayesian view of counterfactual risk minimization (CRM) for offline learning from logged bandit feedback. Using PAC-Bayesian analysis, we derive a new generalization bound for the truncated inverse propensity score estimator.…

Sequential decisions in volatile, high-stakes settings require more than maximizing expected return; they require principled uncertainty management. This paper presents the Uncertainty-Aware Markov Decision Process (UAMDP), a unified…

Offline reinforcement learning (RL) is a powerful approach for data-driven decision-making and control. Compared to model-free methods, offline model-based reinforcement learning (MBRL) explicitly learns world models from a static dataset…

This work pioneers regret analysis of risk-sensitive reinforcement learning in partially observable environments with hindsight observation, addressing a gap in theoretical exploration. We introduce a novel formulation that integrates…

The Reward-Biased Maximum Likelihood Estimate (RBMLE) for adaptive control of Markov chains was proposed to overcome the central obstacle of what is variously called the fundamental "closed-identifiability problem" of adaptive control, the…

The multi-armed bandit (MAB) is a classical online optimization model for the trade-off between exploration and exploitation. The traditional MAB is concerned with finding the arm that minimizes the mean cost. However, minimizing the mean…

We present a new algorithm based on posterior sampling for learning in Constrained Markov Decision Processes (CMDP) in the infinite-horizon undiscounted setting. The algorithm achieves near-optimal regret bounds while being advantageous…

We consider a resource-aware variant of the classical multi-armed bandit problem: In each round, the learner selects an arm and determines a resource limit. It then observes a corresponding (random) reward, provided the (random) amount of…

The curse of dimensionality renders Reinforcement Learning (RL) impractical in many real-world settings with exponentially large state and action spaces. Yet, many environments exhibit exploitable structure that can accelerate learning. To…

Voltage control is crucial to large-scale power system reliable operation, as timely reactive power support can help prevent widespread outages. However, there is currently no built in mechanism for power systems to ensure that the voltage…

The Markov Decision Process (MDP) is a popular framework for sequential decision-making problems, and uncertainty quantification is an essential component of it to learn optimal decision-making strategies. In particular, a Bayesian…

Many physical systems have underlying safety considerations that require that the policy employed ensures the satisfaction of a set of constraints. The analytical formulation usually takes the form of a Constrained Markov Decision Process…

In many real-world reinforcement learning (RL) problems, besides optimizing the main objective function, an agent must concurrently avoid violating a number of constraints. In particular, besides optimizing performance it is crucial to…

We consider un-discounted reinforcement learning (RL) in Markov decision processes (MDPs) under drifting non-stationarity, i.e., both the reward and state transition distributions are allowed to evolve over time, as long as their respective…

Restless multi-armed bandits (RMAB) play a central role in modeling sequential decision making problems under an instantaneous activation constraint that at most B arms can be activated at any decision epoch. Each restless arm is endowed…

We develop a new approach to obtaining high probability regret bounds for online learning with bandit feedback against an adaptive adversary. While existing approaches all require carefully constructing optimistic and biased loss…