Related papers: Q-Learning with Shift-Aware Upper Confidence Bound…

Reinforcement learning in non-stationary environments is challenging due to abrupt and unpredictable changes in dynamics, often causing traditional algorithms to fail to converge. However, in many real-world cases, non-stationarity has some…

Multi-armed bandit models have proven to be useful in modeling many real world problems in the areas of control and sequential decision making with partial information. However, in many scenarios, such as those prevalent in healthcare and…

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…

Recent offline meta-reinforcement learning (meta-RL) methods typically utilize task-dependent behavior policies (e.g., training RL agents on each individual task) to collect a multi-task dataset. However, these methods always require extra…

We consider offline reinforcement learning (RL) methods in possibly nonstationary environments. Many existing RL algorithms in the literature rely on the stationarity assumption that requires the system transition and the reward function to…

Q-learning is a popular reinforcement learning algorithm. This algorithm has however been studied and analysed mainly in the infinite horizon setting. There are several important applications which can be modeled in the framework of finite…

The Multi-Armed Bandit (MAB) problem is challenging in non-stationary environments where reward distributions evolve dynamically. We introduce RAVEN-UCB, a novel algorithm that combines theoretical rigor with practical efficiency via…

We study risk-sensitive Reinforcement Learning (RL), where we aim to maximize the Conditional Value at Risk (CVaR) with a fixed risk tolerance $\tau$. Prior theoretical work studying risk-sensitive RL focuses on the tabular Markov Decision…

We study the Whittle index learning algorithm for restless multi-armed bandits (RMAB). We first present Q-learning algorithm and its variants -- speedy Q-learning (SQL), generalized speedy Q-learning (GSQL) and phase Q-learning (PhaseQL).…

Uncertainty quantification (UQ) is crucial for deploying machine learning models in high-stakes applications, where overconfident predictions can lead to serious consequences. An effective UQ method must balance computational efficiency…

Recent developments in Reinforcement learning have significantly enhanced sequential decision-making in uncertain environments. Despite their strong performance guarantees, most existing work has focused primarily on improving the…

Dealing with distribution shifts is one of the central challenges for modern machine learning. One fundamental situation is the covariate shift, where the input distributions of data change from training to testing stages while the…

Offline reinforcement learning (RL) enables training from fixed data without online interaction, but policies learned offline often struggle when deployed in dynamic environments due to distributional shift and unreliable value estimates on…

Double Reinforcement Learning (DRL) enables efficient inference for policy values in nonparametric Markov decision processes (MDPs), but existing methods face two major obstacles: (1) they require stringent intertemporal overlap conditions…

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…

Large Language and Vision-Language Models (LLMs/VLMs) are increasingly used in safety-critical applications, yet their opaque decision-making complicates risk assessment and reliability. Uncertainty quantification (UQ) helps assess…

The recent rising popularity of ultra-fast delivery services on retail platforms fuels the increasing use of urban warehouses, whose proximity to customers makes fast deliveries viable. The space limit in urban warehouses poses a problem…

We investigate reinforcement learning (RL) in the presence of distributional mismatch between training and deployment, where policies trained in simulators often underperform in practice due to mismatches between training and deployment…

We present a novel $Q$-learning algorithm tailored to solve distributionally robust Markov decision problems where the corresponding ambiguity set of transition probabilities for the underlying Markov decision process is a Wasserstein ball…

Deep Reinforcement Learning (DRL) has shown outstanding performance on inducing effective action policies that maximize expected long-term return on many complex tasks. Much of DRL work has been focused on sequences of events with discrete…