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Optimizing risk-averse objectives in discounted MDPs is challenging because most models do not admit direct dynamic programming equations and require complex history-dependent policies. In this paper, we show that the risk-averse {\em total…
Maximum entropy deep reinforcement learning (RL) methods have been demonstrated on a range of challenging continuous tasks. However, existing methods either suffer from severe instability when training on large off-policy data or cannot…
The nuclear fuel loading pattern optimization problem belongs to the class of large-scale combinatorial optimization. It is also characterized by multiple objectives and constraints, which makes it impossible to solve explicitly. Stochastic…
We study the problem of inverse reinforcement learning (IRL), where the learning agent recovers a reward function using expert demonstrations. Most of the existing IRL techniques make the often unrealistic assumption that the agent has…
Recently, there has been a surge of interest in analyzing the non-asymptotic behavior of model-free reinforcement learning algorithms. However, the performance of such algorithms in non-ideal environments, such as in the presence of…
Reinforcement learning with function approximation has recently achieved tremendous results in applications with large state spaces. This empirical success has motivated a growing body of theoretical work proposing necessary and sufficient…
For continuing tasks, average cost Markov decision processes have well-documented value and can be solved using efficient algorithms. However, it explicitly assumes that the agent is risk-neutral. In this work, we extend risk-neutral…
Standard reinforcement learning (RL) aims to find an optimal policy that identifies the best action for each state. However, in healthcare settings, many actions may be near-equivalent with respect to the reward (e.g., survival). We…
We propose reinforcement learning (RL) strategies tailored for reasoning in large language models (LLMs) under strict memory and compute limits, with a particular focus on compatibility with LoRA fine-tuning. Building on early policy…
Reinforcement learning (RL) with continuous time and state/action spaces is often data-intensive and brittle under nuisance variability and shift, motivating methods that exploit value-preserving structures to stabilize and improve…
This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…
Reinforcement learning (RL) algorithms have been successfully applied to a range of challenging sequential decision making and control tasks. In this paper, we classify RL into direct and indirect RL according to how they seek the optimal…
Consider a Markov decision process (MDP) that admits a set of state-action features, which can linearly express the process's probabilistic transition model. We propose a parametric Q-learning algorithm that finds an approximate-optimal…
Reinforcement Learning (RL) is a general framework concerned with an agent that seeks to maximize rewards in an environment. The learning typically happens through trial and error using explorative methods, such as epsilon-greedy. There are…
Due to the nature of risk management in learning applicable policies, risk-sensitive reinforcement learning (RSRL) has been realized as an important direction. RSRL is usually achieved by learning risk-sensitive objectives characterized by…
In this paper, we present an online reinforcement learning algorithm, called Renewal Monte Carlo (RMC), for infinite horizon Markov decision processes with a designated start state. RMC is a Monte Carlo algorithm and retains the advantages…
In this paper, we provide two new stable online algorithms for the problem of prediction in reinforcement learning, \emph{i.e.}, estimating the value function of a model-free Markov reward process using the linear function approximation…
In this work, we propose a novel inverse reinforcement learning (IRL) algorithm for constrained Markov decision process (CMDP) problems. In standard IRL problems, the inverse learner or agent seeks to recover the reward function of the MDP,…
In many real-life reinforcement learning (RL) problems, deploying new policies is costly. In those scenarios, algorithms must solve exploration (which requires adaptivity) while switching the deployed policy sparsely (which limits…
This paper introduces a deep reinforcement learning (RL) framework for optimizing the operations of power plants pairing renewable energy with storage. The objective is to maximize revenue from energy markets while minimizing storage…