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A Markov Decision Process (MDP) is a popular model for reinforcement learning. However, its commonly used assumption of stationary dynamics and rewards is too stringent and fails to hold in adversarial, nonstationary, or multi-agent…

The standard RL world model is that of a Markov Decision Process (MDP). A basic premise of MDPs is that the rewards depend on the last state and action only. Yet, many real-world rewards are non-Markovian. For example, a reward for bringing…

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…

As a paradigm for sequential decision making in unknown environments, reinforcement learning (RL) has received a flurry of attention in recent years. However, the explosion of model complexity in emerging applications and the presence of…

Reinforcement Learning (RL) heavily relies on the careful design of the reward function. However, accurately assigning rewards to each state-action pair in Long-Term Reinforcement Learning (LTRL) tasks remains a significant challenge. As a…

This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entropy regularization where the agent randomizes both the timing…

Although Reinforcement Learning (RL) algorithms have found tremendous success in simulated domains, they often cannot directly be applied to physical systems, especially in cases where there are hard constraints to satisfy (e.g. on safety…

Ordinal regression and ranking are challenging due to inherent ordinal dependencies that conventional methods struggle to model. We propose Ranking-Aware Reinforcement Learning (RARL), a novel RL framework that explicitly learns these…

We propose a reinforcement learning (RL) framework that leverages multimodal data including historical stock prices, sentiment analysis, and topic embeddings from news articles, to optimize trading strategies for SP100 stocks. Building upon…

This article develops a deep reinforcement learning (Deep-RL) framework for dynamic pricing on managed lanes with multiple access locations and heterogeneity in travelers' value of time, origin, and destination. This framework relaxes…

Extending large language models (LLMs) to low-resource languages often incurs an "alignment tax": improvements in the target language come at the cost of catastrophic forgetting in general capabilities. We argue that this trade-off arises…

This paper describes a purely data-driven solution to a class of sequential decision-making problems with a large number of concurrent online decisions, with applications to computing systems and operations research. We assume that while…

Offline reinforcement learning (RL) aims to find optimal policies in dynamic environments in order to maximize the expected total rewards by leveraging pre-collected data. Learning from heterogeneous data is one of the fundamental…

Reinforcement learning (RL) in episodic, factored Markov decision processes (FMDPs) is studied. We propose an algorithm called FMDP-BF, which leverages the factorization structure of FMDP. The regret of FMDP-BF is shown to be exponentially…

Online advertising in recommendation platforms has gained significant attention, with a predominant focus on channel recommendation and budget allocation strategies. However, current offline reinforcement learning (RL) methods face…

Reinforcement Learning (RL) based methods have seen their paramount successes in solving serial decision-making and control problems in recent years. For conventional RL formulations, Markov Decision Process (MDP) and state-action-value…

Large Language Models (LLMs) have recently demonstrated strong potential in generating 'believable human-like' behavior in web environments. Prior work has explored augmenting training data with LLM-synthesized rationales and applying…

The rapid changes in the finance industry due to the increasing amount of data have revolutionized the techniques on data processing and data analysis and brought new theoretical and computational challenges. In contrast to classical…

This thesis presents the results of a comprehensive research project focused on applying Reinforcement Learning (RL) to the problem of market making in financial markets. Market makers (MMs) play a fundamental role in providing liquidity,…

Finding optimal policies which maximize long term rewards of Markov Decision Processes requires the use of dynamic programming and backward induction to solve the Bellman optimality equation. However, many real-world problems require…