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Reinforcement learning (RL) has shown remarkable success in solving complex decision-making and control tasks. However, many model-free RL algorithms experience performance degradation due to inaccurate value estimation, particularly the…
Policy gradient methods are very attractive in reinforcement learning due to their model-free nature and convergence guarantees. These methods, however, suffer from high variance in gradient estimation, resulting in poor sample efficiency.…
A key aspect of intelligence is the ability to demonstrate a broad spectrum of behaviors for adapting to unexpected situations. Over the past decade, advancements in deep reinforcement learning have led to groundbreaking achievements to…
We consider the problem of non-stationary reinforcement learning (RL) in the infinite-horizon average-reward setting. We model it by a Markov Decision Process with time-varying rewards and transition probabilities, with a variation budget…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
Model-based reinforcement learning algorithms, which aim to learn a model of the environment to make decisions, are more sample efficient than their model-free counterparts. The sample efficiency of model-based approaches relies on whether…
Learning optimal behavior from existing data is one of the most important problems in Reinforcement Learning (RL). This is known as "off-policy control" in RL where an agent's objective is to compute an optimal policy based on the data…
In many robotic applications, some aspects of the system dynamics can be modeled accurately while others are difficult to obtain or model. We present a novel reinforcement learning (RL) method for continuous state and action spaces that…
We identify two issues with the family of algorithms based on the Adversarial Imitation Learning framework. The first problem is implicit bias present in the reward functions used in these algorithms. While these biases might work well for…
We present on-line policy gradient algorithms for computing the locally optimal policy of a constrained, average cost, finite state Markov Decision Process. The stochastic approximation algorithms require estimation of the gradient of the…
Opponent modelling has proven effective in enhancing the decision-making of the controlled agent by constructing models of opponent agents. However, existing methods often rely on access to the observations and actions of opponents, a…
We consider an improper reinforcement learning setting where a learner is given $M$ base controllers for an unknown Markov decision process, and wishes to combine them optimally to produce a potentially new controller that can outperform…
In cooperative stochastic games multiple agents work towards learning joint optimal actions in an unknown environment to achieve a common goal. In many real-world applications, however, constraints are often imposed on the actions that can…
Offline reinforcement learning (RL) presents distinct challenges as it relies solely on observational data. A central concern in this context is ensuring the safety of the learned policy by quantifying uncertainties associated with various…
Model-free deep reinforcement learning has achieved great success in many domains, such as video games, recommendation systems and robotic control tasks. In continuous control tasks, widely used policies with Gaussian distributions results…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
Policy gradient methods are powerful reinforcement learning algorithms and have been demonstrated to solve many complex tasks. However, these methods are also data-inefficient, afflicted with high variance gradient estimates, and frequently…
We present a general framework for optimizing the Conditional Value-at-Risk for dynamical systems using stochastic search. The framework is capable of handling the uncertainty from the initial condition, stochastic dynamics, and uncertain…
A variety of theoretically-sound policy gradient algorithms exist for the on-policy setting due to the policy gradient theorem, which provides a simplified form for the gradient. The off-policy setting, however, has been less clear due to…
Reinforcement learning methods for robotics are increasingly successful due to the constant development of better policy gradient techniques. A precise (low variance) and accurate (low bias) gradient estimator is crucial to face…