Related papers: Risk-Sensitive Q-Learning in Continuous Time with …
This paper investigates the problem of designing control policies that satisfy high-level specifications described by signal temporal logic (STL) in unknown, stochastic environments. While many existing works concentrate on optimizing the…
Reinforcement Learning (RL) has shown exceptional performance across various applications, enabling autonomous agents to learn optimal policies through interaction with their environments. However, traditional RL frameworks often face…
A common setting of reinforcement learning (RL) is a Markov decision process (MDP) in which the environment is a stochastic discrete-time dynamical system. Whereas MDPs are suitable in such applications as video-games or puzzles, physical…
Self-paced reinforcement learning (RL) aims to improve the data efficiency of learning by automatically creating sequences, namely curricula, of probability distributions over contexts. However, existing techniques for self-paced RL fail in…
This paper proposes a novel approach for Asset-Liability Management (ALM) by employing continuous-time Reinforcement Learning (RL) with a linear-quadratic (LQ) formulation that incorporates both interim and terminal objectives. We develop a…
Much research has been done to analyze the stock market. After all, if one can determine a pattern in the chaotic frenzy of transactions, then they could make a hefty profit from capitalizing on these insights. As such, the goal of our…
Robust reinforcement learning (RRL) aims at seeking a robust policy to optimize the worst case performance over an uncertainty set of Markov decision processes (MDPs). This set contains some perturbed MDPs from a nominal MDP (N-MDP) that…
Among the great successes of Reinforcement Learning (RL), self-play algorithms play an essential role in solving competitive games. Current self-play algorithms optimize the agent to maximize expected win-rates against its current or…
Reinforcement learning consists of finding policies that maximize an expected cumulative long-term reward in a Markov decision process with unknown transition probabilities and instantaneous rewards. In this paper, we consider the problem…
In safe offline reinforcement learning (RL), the objective is to develop a policy that maximizes cumulative rewards while strictly adhering to safety constraints, utilizing only offline data. Traditional methods often face difficulties in…
We study the problem of learning safe control policies that are also effective; i.e., maximizing the probability of satisfying a linear temporal logic (LTL) specification of a task, and the discounted reward capturing the (classic) control…
Reinforcement learning (RL) has become an effective way to improve prompt alignment and perceptual quality in diffusion and flow-matching generators. A critical step for applying online RL to flow matching is turning the deterministic…
Safe Reinforcement Learning (Safe RL) aims to train an RL agent to maximize its performance in real-world environments while adhering to safety constraints, as exceeding safety violation limits can result in severe consequences. In this…
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV…
Distributionally robust reinforcement learning (DRRL) focuses on designing policies that achieve good performance under model uncertainties. The goal is to maximize the worst-case long-term discounted reward, where the data for RL comes…
We study the estimation of risk-sensitive policies in reinforcement learning problems defined by a Markov Decision Process (MDPs) whose state and action spaces are countably finite. Prior efforts are predominately afflicted by computational…
In risk-averse reinforcement learning (RL), the goal is to optimize some risk measure of the returns. A risk measure often focuses on the worst returns out of the agent's experience. As a result, standard methods for risk-averse RL often…
We study the problem of safe offline reinforcement learning (RL), the goal is to learn a policy that maximizes long-term reward while satisfying safety constraints given only offline data, without further interaction with the environment.…
Mainstream approximate action-value iteration reinforcement learning (RL) algorithms suffer from overestimation bias, leading to suboptimal policies in high-variance stochastic environments. Quantile-based action-value iteration methods…
In safety-critical domains, reinforcement learning (RL) agents must often satisfy strict, zero-cost safety constraints while accomplishing tasks. Existing model-free methods frequently either fail to achieve near-zero safety violations or…