Related papers: Data-Driven Long-Term Asset Allocation with Tsalli…
We address an information-theoretic approach to noise and disturbance in quantum measurements. Properties of corresponding probability distributions are characterized by means of both the R\'{e}nyi and Tsallis entropies. Related…
Entropy regularization is known to improve exploration in sequential decision-making problems. We show that this same mechanism can also lead to nearly unbiased and lower-variance estimates of the mean reward in the optimize-and-estimate…
This paper studies data-driven approaches to the continuous-time linear quadratic regulator (LQR) problem based on two existing parameterizations, namely a closed-loop (CL) parameterization from behavioral system theory and an integral…
We study the evolution of Tsallis entropy along the heat flow and establish its concavity in arbitrary dimensions. Extending prior results that were restricted to the one-dimensional setting, we prove that the Tsallis entropy is concave in…
Modeling financial markets based on empirical data poses challenges in selecting the most appropriate models. Despite the abundance of empirical data available, researchers often face difficulties in identifying the best-fitting model.…
This article presents a unified approach to quadratic optimal control for both linear and nonlinear discrete-time systems, with a focus on trajectory tracking. The control strategy is based on minimizing a quadratic cost function that…
Sample-based trajectory optimisers are a promising tool for the control of robotics with non-differentiable dynamics and cost functions. Contemporary approaches derive from a restricted subclass of stochastic optimal control where the…
This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We…
We consider the problem of direct data-driven predictive control for unknown stochastic linear time-invariant (LTI) systems with partial state observation. Building upon our previous research on data-driven stochastic control, this paper…
We provide a rigorous first-principle derivation of the non-additive Tsallis' entropy by employing the Chaitin-Kolmogorov algorithmic information theory. By applying non-local restrictive rules on the string formation (grammar), we show…
We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance…
We explore reinforcement learning methods for finding the optimal policy in the linear quadratic regulator (LQR) problem. In particular, we consider the convergence of policy gradient methods in the setting of known and unknown parameters.…
This paper presents a sample-efficient, data-driven control framework for finite-horizon linear quadratic (LQ) control of linear time-varying (LTV) systems. In contrast to the time-invariant case, the time-varying LQ problem involves a…
A new method is proposed for analyzing complexity and studying the information in random geometric networks using Tsallis entropy tool. Tsallis entropy of the ensemble of random geometric networks is calculated based on the components of…
In this paper, we propose a distributionally robust control synthesis for an agent with stochastic dynamics that interacts with other agents under uncertainties and constraints expressed by signal temporal logic (STL). We formulate the…
Temporal-Difference (TD) learning methods, such as Q-Learning, have proven effective at learning a policy to perform control tasks. One issue with methods like Q-Learning is that the value update introduces bias when predicting the TD…
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics. For distributions with positive support, our…
This paper presents a one-shot learning approach with performance and robustness guarantees for the linear quadratic regulator (LQR) control of stochastic linear systems. Even though data-based LQR control has been widely considered,…
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante…
Linear-Quadratic-Gaussian (LQG) control is a fundamental control paradigm that is studied in various fields such as engineering, computer science, economics, and neuroscience. It involves controlling a system with linear dynamics and…