Related papers: Regime-Based Portfolio Allocation Using Hidden Mar…
Hidden Markov models (HMMs) and their extensions have proven to be powerful tools for classification of observations that stem from systems with temporal dependence as they take into account that observations close in time are likely…
Reinforcement learning (RL) is a technique to learn the control policy for an agent that interacts with a stochastic environment. In any given state, the agent takes some action, and the environment determines the probability distribution…
Latent variable models are widely used to perform unsupervised segmentation of time series in different context such as robotics, speech recognition, and economics. One of the most widely used latent variable model is the Auto-Regressive…
Portfolio management (PM) is a fundamental financial trading task, which explores the optimal periodical reallocation of capitals into different stocks to pursue long-term profits. Reinforcement learning (RL) has recently shown its…
We revisit the estimation bias in policy gradients for the discounted episodic Markov decision process (MDP) from Deep Reinforcement Learning (DRL) perspective. The objective is formulated theoretically as the expected returns discounted…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
This paper targets the efficient construction of a safety shield for decision making in scenarios that incorporate uncertainty. Markov decision processes (MDPs) are prominent models to capture such planning problems. Reinforcement learning…
Goal-conditioned hierarchical reinforcement learning (HRL) presents a promising approach for enabling effective exploration in complex, long-horizon reinforcement learning (RL) tasks through temporal abstraction. Empirically, heightened…
Managing physiological variables within clinically safe target zones is a central challenge in healthcare, particularly for chronic conditions such as Type 1 Diabetes Mellitus (T1DM). Reinforcement learning (RL) offers promise for…
The reward model has become increasingly important in alignment, assessment, and data construction for large language models (LLMs). Most existing researchers focus on enhancing reward models through data improvements, following the…
Deep reinforcement learning (DRL) has been applied in financial portfolio management to improve returns in changing market conditions. However, unlike most fields where DRL is widely used, the stock market is more volatile and dynamic as it…
Multi-task representation learning (MTRL) is an approach that learns shared latent representations across related tasks, facilitating collaborative learning that improves the overall learning efficiency. This paper studies MTRL for…
We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump-Diffusion dynamics. We begin by discussing the basics of RL…
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio management, with known and unknown model parameters, that…
Recurrent neural networks (RNNs) provide a powerful approach in neuroscience to infer latent dynamics in neural populations and to generate hypotheses about the neural computations underlying behavior. However, past work has focused on…
The Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) is a natural Bayesian nonparametric extension of the classical Hidden Markov Model for learning from (spatio-)temporal data. A sticky HDP-HMM has been proposed to strengthen…
Regulating the importance ratio is critical for the training stability of Group Relative Policy Optimization (GRPO) based frameworks. However, prevailing ratio control methods, such as hard clipping, suffer from non-differentiable…
Accurate and robust recognition and prediction of traffic situation plays an important role in autonomous driving, which is a prerequisite for risk assessment and effective decision making. Although there exist a lot of works dealing with…
In this work we deal with the funding costs rising from hedging the risky securities underlying a target volatility strategy (TVS), a portfolio of risky assets and a risk-free one dynamically rebalanced in order to keep the realized…
We consider financial market regime detection from the perspective of deep representation learning of the causal information geometry underpinning traded asset systems using a hierarchical correlation structure to characterise market…