Related papers: Reinforcement Learning for Discounted and Ergodic …
We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
The paper considers a class of multi-agent Markov decision processes (MDPs), in which the network agents respond differently (as manifested by the instantaneous one-stage random costs) to a global controlled state and the control actions of…
Diffusion models have garnered widespread attention in Reinforcement Learning (RL) for their powerful expressiveness and multimodality. It has been verified that utilizing diffusion policies can significantly improve the performance of RL…
In this paper, we study the optimal dividend problem under the continuous time diffusion model with the bounded dividend rate from the Reinforcement Learning (RL) perspective. Unlike the standard literature, our main focus will be on…
Offline reinforcement learning (RL) aims to learn optimal policies from offline datasets, where the parameterization of policies is crucial but often overlooked. Recently, Diffsuion-QL significantly boosts the performance of offline RL by…
Diffusion models excel at sampling from complex, unnormalized distributions. In this work, we extend Maximum Entropy Reinforcement Learning (ME-RL) to diffusion processes, enabling sampling from the optimal policy trajectory distribution.…
Drawing upon recent advances in language model alignment, we formulate offline Reinforcement Learning as a two-stage optimization problem: First pretraining expressive generative policies on reward-free behavior datasets, then fine-tuning…
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…
In this paper, we use concepts from supervisory control theory of discrete event systems to propose a method to learn optimal control policies for a finite-state Markov Decision Process (MDP) in which (only) certain sequences of actions are…
This paper studies the continuous-time reinforcement learning in jump-diffusion models by featuring the q-learning (the continuous-time counterpart of Q-learning) under Tsallis entropy regularization. Contrary to the Shannon entropy, the…
This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…
Reinforcement learning has traditionally been studied with exponential discounting or the average reward setup, mainly due to their mathematical tractability. However, such frameworks fall short of accurately capturing human behavior, which…
The field of quickest change detection (QCD) focuses on the design and analysis of online algorithms that estimate the time at which a significant event occurs. In this paper, design and analysis are cast in a Bayesian framework, where QCD…
We study the problem of zero-delay coding for the transmission of a Markov source over a noisy channel with feedback and present a reinforcement learning solution which is guaranteed to achieve near-optimality. To this end, we formulate the…
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…
This paper proposes a supervised training algorithm for learning stochastic resource allocation policies with generative diffusion models (GDMs). We formulate the allocation problem as the maximization of an ergodic utility function subject…
Reinforcement learning studies how an agent should interact with an environment to maximize its cumulative reward. A standard way to study this question abstractly is to ask how many samples an agent needs from the environment to learn an…
In this paper, for POMDPs, we provide the convergence of a Q learning algorithm for control policies using a finite history of past observations and control actions, and, consequentially, we establish near optimality of such limit Q…
This paper addresses the average cost minimization problem for discrete-time systems with multiplicative and additive noises via reinforcement learning. By using Q-function, we propose an online learning scheme to estimate the kernel matrix…