相关论文: On Uninformative Optimal Policies in Adaptive LQR …

Model-free reinforcement learning algorithms combined with value function approximation have recently achieved impressive performance in a variety of application domains. However, the theoretical understanding of such algorithms is limited,…

We study how to adapt to smoothly-varying ('easy') environments in well-known online learning problems where acquiring information is expensive. For the problem of label efficient prediction, which is a budgeted version of prediction with…

We consider estimation and control in linear time-varying dynamical systems from the perspective of regret minimization. Unlike most prior work in this area, we focus on the problem of designing causal estimators and controllers which…

We study, to our knowledge, the first tractable multistage ex-ante distributionally robust regret optimization (DRRO) formulation for stochastic control. We consider finite-horizon LQR under common stage-law ambiguity: disturbances are…

We introduce a generic template for developing regret minimization algorithms in the Stochastic Shortest Path (SSP) model, which achieves minimax optimal regret as long as certain properties are ensured. The key of our analysis is a new…

Learning optimal policies from historical data enables personalization in a wide variety of applications including healthcare, digital recommendations, and online education. The growing policy learning literature focuses on settings where…

We address the online linear optimization problem with bandit feedback. Our contribution is twofold. First, we provide an algorithm (based on exponential weights) with a regret of order $\sqrt{d n \log N}$ for any finite action set with $N$…

This paper investigates the regret associated with the Distributionally Robust Control (DRC) strategies used to address multistage optimization problems where the involved probability distributions are not known exactly, but rather are…

We address the problem of learning to control an unknown nonlinear dynamical system through sequential interactions. Motivated by high-stakes applications in which mistakes can be catastrophic, such as robotics and healthcare, we study…

Van Trees inequality, also known as the Bayesian Cram\'er-Rao lower bound, is a powerful tool for establishing lower bounds for minimax estimation through Fisher information. It easily adapts to different statistical models and often yields…

Bandit convex optimization (BCO) is a fundamental online learning framework with partial feedback, where the learner observes only the loss incurred at the chosen decision point in each round. In this work, we investigate whether optimistic…

We consider the framework of non-stationary stochastic optimization [Besbes et al, 2015] with squared error losses and noisy gradient feedback where the dynamic regret of an online learner against a time varying comparator sequence is…

We study time-inhomogeneous episodic reinforcement learning (RL) under general function approximation and sparse rewards. We design a new algorithm, Variance-weighted Optimistic $Q$-Learning (VO$Q$L), based on $Q$-learning and bound its…

We revisit the Thompson sampling algorithm to control an unknown linear quadratic (LQ) system recently proposed by Ouyang et al (arXiv:1709.04047). The regret bound of the algorithm was derived under a technical assumption on the induced…

We consider the problem setting of prediction with expert advice with possibly heavy-tailed losses, i.e. the only assumption on the losses is an upper bound on their second moments, denoted by $\theta$. We develop adaptive algorithms that…

Online learning algorithms that minimize regret provide strong guarantees in situations that involve repeatedly making decisions in an uncertain environment, e.g. a driver deciding what route to drive to work every day. While regret…

We consider the problem of online control of systems with time-varying linear dynamics. This is a general formulation that is motivated by the use of local linearization in control of nonlinear dynamical systems. To state meaningful…

Counterfactual regret minimization (CFR) is a family of iterative algorithms that are the most popular and, in practice, fastest approach to approximately solving large imperfect-information games. In this paper we introduce novel CFR…

We study the problem of adaptively controlling a known discrete-time nonlinear system subject to unmodeled disturbances. We prove the first finite-time regret bounds for adaptive nonlinear control with matched uncertainty in the stochastic…

We propose an algorithm that uses linear function approximation (LFA) for stochastic shortest path (SSP). Under minimal assumptions, it obtains sublinear regret, is computationally efficient, and uses stationary policies. To our knowledge,…