Related papers: Primal-dual policy learning for mean-field stochas…

In recent years, $Q$-learning has become indispensable for model-free reinforcement learning (MFRL). However, it suffers from well-known problems such as under- and overestimation bias of the value, which may adversely affect the policy…

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…

Reinforcement learning (RL) is a classical tool to solve network control or policy optimization problems in unknown environments. The original Q-learning suffers from performance and complexity challenges across very large networks. Herein,…

Motivated by the recent empirical success of policy-based reinforcement learning (RL), there has been a research trend studying the performance of policy-based RL methods on standard control benchmark problems. In this paper, we examine the…

We study the Constrained Convex Markov Decision Process (MDP), where the goal is to minimize a convex functional of the visitation measure, subject to a convex constraint. Designing algorithms for a constrained convex MDP faces several…

Model-based reinforcement learning (RL) has proven to be a data efficient approach for learning control tasks but is difficult to utilize in domains with complex observations such as images. In this paper, we present a method for learning…

Mixed Binary Quadratic Programs (MBQPs) are an important and complex set of problems in combinatorial optimization. As solving large-scale combinatorial optimization problems is challenging, primal heuristics have been developed to quickly…

A robustly stabilizing optimal control policy in a model-free mixed $\mathcal{H}_2/\mathcal{H}_\infty$-control setting is here put forward for counterbalancing the slow convergence and non-robustness of traditional high-variance policy…

Frequency stability is fundamental to the secure operation of power systems. With growing uncertainty and volatility introduced by renewable generation, secondary frequency regulation must now deliver enhanced performance not only in the…

Primal-dual methods have a natural application in Safe Reinforcement Learning (SRL), posed as a constrained policy optimization problem. In practice however, applying primal-dual methods to SRL is challenging, due to the inter-dependency of…

We consider Lagrangian duality based approaches to design and analyze algorithms for online energy-efficient scheduling. First, we present a primal-dual framework. Our approach makes use of the Lagrangian weak duality and convexity to…

We develop a continuous-time reinforcement learning framework for a class of singular stochastic control problems without entropy regularization. The optimal singular control is characterized as the optimal singular control law, which is a…

We study the discrete-time linear-quadratic (LQ) control model using reinforcement learning (RL). Using entropy to measure the cost of exploration, we prove that the optimal feedback policy for the problem must be Gaussian type. Then, we…

Distributional reinforcement learning (DRL) enhances the understanding of the effects of the randomness in the environment by letting agents learn the distribution of a random return, rather than its expected value as in standard RL. At the…

This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…

While reinforcement learning has been increasingly applied to stochastic control, few studies have systematically examined policy-based methods in queuing environments modeled as a semi-Markov decision process (SMDP). To address this gap,…

The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local…

We present an algorithm for local, regularized, policy improvement in reinforcement learning (RL) that allows us to formulate model-based and model-free variants in a single framework. Our algorithm can be interpreted as a natural extension…

In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such problems is constrained Markov decision process (CMDP). When…

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…