Related papers: Fitted $Q$ Evaluation Without Bellman Completeness…
Two novel numerical estimators are proposed for solving forward-backward stochastic differential equations (FBSDEs) appearing in the Feynman-Kac representation of the value function in stochastic optimal control problems. In contrast to the…
Quantile estimation is a problem presented in fields such as quality control, hydrology, and economics. There are different techniques to estimate such quantiles. Nevertheless, these techniques use an overall fit of the sample when the…
Federated learning (FL) faces challenges in uncertainty quantification (UQ). Without reliable UQ, FL systems risk deploying overconfident models at under-resourced agents, leading to silent local failures despite seemingly satisfactory…
In this article, basing on NQD samples, we investigate the fixed design nonparametric regression model, where the errors are pairwise NQD random errors, with fixed design points, and an unknown function. Nonparametric weighted estimator…
We study the multi-task linear regression problem in the presence of contaminated tasks. We address the setting where the unknown parameters of a majority of tasks are close in the $\ell_2$-norm, while a fraction of tasks are arbitrary…
Interactive fixed effects are routinely controlled for in linear panel models. While an analogous fixed effects (FE) estimator for nonlinear models has been available in the literature (Chen, Fernandez-Val and Weidner, 2021), it sees much…
Soft Q-learning has emerged as a versatile model-free method for entropy-regularised reinforcement learning, optimising for returns augmented with a penalty on the divergence from a reference policy. Despite its success, the multi-step…
We propose and analyze an alternate approach to off-policy multi-step temporal difference learning, in which off-policy returns are corrected with the current Q-function in terms of rewards, rather than with the target policy in terms of…
Positivity violations, which occur when some subgroups either always or never receive a treatment of interest, pose significant challenges for causal effect estimation with observational data. Recent balancing weight methods have proved to…
``Distribution shift'' is the main obstacle to the success of offline reinforcement learning. A learning policy may take actions beyond the behavior policy's knowledge, referred to as Out-of-Distribution (OOD) actions. The Q-values for…
In an influential critique of empirical practice, Freedman (2008) showed that the linear regression estimator was biased for the analysis of randomized controlled trials under the randomization model. Under Freedman's assumptions, we derive…
A biomechanical model often requires parameter estimation and selection in a known but complicated nonlinear function. Motivated by observing that data from a head-neck position tracking system, one of biomechanical models, show…
Offline Reinforcement Learning (RL) focuses on learning policies solely from a batch of previously collected data. offering the potential to leverage such datasets effectively without the need for costly or risky active exploration. While…
Model-based offline reinforcement learning (RL) is a compelling approach that addresses the challenge of learning from limited, static data by generating imaginary trajectories using learned models. However, these approaches often struggle…
This paper develops a quantitative framework for analyzing the mean-square exponential stabilization of stochastic linear systems with multiplicative noise, focusing specifically on the optimal stabilizing rate, which characterizes the…
In many real-world reinforcement learning applications, access to the environment is limited to a fixed dataset, instead of direct (online) interaction with the environment. When using this data for either evaluation or training of a new…
Off-policy Reinforcement Learning (RL) holds the promise of better data efficiency as it allows sample reuse and potentially enables safe interaction with the environment. Current off-policy policy gradient methods either suffer from high…
Estimation of importance sampling weights for off-policy evaluation of contextual bandits often results in imbalance - a mismatch between the desired and the actual distribution of state-action pairs after weighting. In this work we present…
In this paper we develop pivotal inference for the final (FPE) and relative final prediction error (RFPE) of linear forecasts in stationary processes. Our approach is based on a self-normalizing technique and avoids the estimation of the…
Accurate power system state estimation (PSSE) is an essential prerequisite for reliable operation of power systems. Different from static PSSE, dynamic PSSE can exploit past measurements based on a dynamical state evolution model, offering…