Related papers: Reinforcement Learning for Option Hedging: Static …

The innovative services empowered by the Internet of Things (IoT) require a seamless and reliable wireless infrastructure that enables communications within heterogeneous and dynamic low-power and lossy networks (LLNs). The Routing Protocol…

The construction of replication strategies for contingent claims in the presence of risk and market friction is a key problem of financial engineering. In real markets, continuous replication, such as in the model of Black, Scholes and…

Two common approaches to sequential decision-making are AI planning (AIP) and reinforcement learning (RL). Each has strengths and weaknesses. AIP is interpretable, easy to integrate with symbolic knowledge, and often efficient, but requires…

Offline reinforcement learning (RL) provides a promising direction to exploit massive amount of offline data for complex decision-making tasks. Due to the distribution shift issue, current offline RL algorithms are generally designed to be…

In statistical modelling the biggest threat is concept drift which makes the model gradually showing deteriorating performance over time. There are state of the art methodologies to detect the impact of concept drift, however general…

With the growing prevalence of smart grid technology, short-term load forecasting (STLF) becomes particularly important in power system operations. There is a large collection of methods developed for STLF, but selecting a suitable method…

Optimal execution is an important problem faced by any trader. Most solutions are based on the assumption of constant market impact, while liquidity is known to be dynamic. Moreover, models with time-varying liquidity typically assume that…

Multi-agent learning is a promising method to simulate aggregate competitive behaviour in finance. Learning expert agents' reward functions through their external demonstrations is hence particularly relevant for subsequent design of…

This article provides a methodology and open-source implementation of Reinforcement Learning algorithms for finding optimal routes in a packet-optical network scenario. The algorithm uses measurements provided by the physical layer (pre-FEC…

To better align Large Language Models (LLMs) with human judgment, Reinforcement Learning from Human Feedback (RLHF) learns a reward model and then optimizes it using regularized RL. Recently, direct alignment methods were introduced to…

Reinforcement learning (RL) policies deployed in safety-critical systems, such as unmanned aerial vehicle (UAV) navigation in dynamic airspace, are vulnerable to out-ofdistribution (OOD) adversarial attacks in the observation space. These…

In this work we revisit the Mobility Robustness Optimisation (MRO) algorithm and study the possibility of learning the optimal Cell Individual Offset tuning using offline Reinforcement Learning. Such methods make use of collected offline…

Applying reinforcement learning (RL) to real-world applications requires addressing a trade-off between asymptotic performance, sample efficiency, and inference time. In this work, we demonstrate how to address this triple challenge by…

In sequential decision-making problems, Return-Conditioned Supervised Learning (RCSL) has gained increasing recognition for its simplicity and stability in modern decision-making tasks. Unlike traditional offline reinforcement learning (RL)…

Reinforcement learning (RL) for exponential-utility optimization in discounted Markov decision processes (MDPs) lacks principled value-based algorithms. We address this gap in the fixed risk-aversion setting. Building on the Bellman-type…

Offline reinforcement-learning (RL) algorithms learn to make decisions using a given, fixed training dataset without online data collection. This problem setting is captivating because it holds the promise of utilizing previously collected…

Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this…

Reinforcement learning agents for portfolio management are typically trained and deployed as static policies, with no mechanism for using price forecasts at inference time. We propose $\text{FPILOT}$ (**Fin**ancial **P**lugin…

In this work, we study model-based reinforcement learning (RL) in unknown stabilizable linear dynamical systems. When learning a dynamical system, one needs to stabilize the unknown dynamics in order to avoid system blow-ups. We propose an…

This paper introduces Fast Linearized Adaptive Policy (FLAP), a new meta-reinforcement learning (meta-RL) method that is able to extrapolate well to out-of-distribution tasks without the need to reuse data from training, and adapt almost…