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In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic allocation task whose objective is the optimal placement of market…

交易与市场微观结构 · 定量金融 2026-01-28 Patrick Cheridito , Moritz Weiss

One of the key challenges that Reinforcement Learning (RL) faces is its limited capability to adapt to a change of data distribution caused by uncertainties. This challenge arises especially in RL systems using deep neural networks as…

机器学习 · 计算机科学 2025-06-17 Amornyos Horprasert , Esa Apriaskar , Xingyu Liu , Lanlan Su , Lyudmila S. Mihaylova

Offline reinforcement learning (RL) allows learning sequential behavior from fixed datasets. Since offline datasets do not cover all possible situations, many methods collect additional data during online fine-tuning to improve performance.…

机器学习 · 计算机科学 2024-06-13 Mohammadreza Nakhaei , Aidan Scannell , Joni Pajarinen

Deep neural networks coupled with fast simulation and improved computation have led to recent successes in the field of reinforcement learning (RL). However, most current RL-based approaches fail to generalize since: (a) the gap between…

机器学习 · 计算机科学 2017-03-09 Lerrel Pinto , James Davidson , Rahul Sukthankar , Abhinav Gupta

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…

人工智能 · 计算机科学 2019-10-02 Hardik Meisheri , Vinita Baniwal , Nazneen N Sultana , Balaraman Ravindran , Harshad Khadilkar

We present a computational framework for synthesis of distributed control strategies for a heterogeneous team of robots in a partially observable environment. The goal is to cooperatively satisfy specifications given as Truncated Linear…

人工智能 · 计算机科学 2022-04-07 Ningyuan Zhang , Wenliang Liu , Calin Belta

Real-world applications require RL algorithms to act safely. During learning process, it is likely that the agent executes sub-optimal actions that may lead to unsafe/poor states of the system. Exploration is particularly brittle in…

机器学习 · 统计学 2019-06-17 Elena Smirnova , Elvis Dohmatob , Jérémie Mary

Target search problems are central to a wide range of fields, from biological foraging to the optimization algorithms. Recently, the ability to reset the search has been shown to significantly improve the searcher's efficiency. However, the…

统计力学 · 物理学 2025-03-17 Gorka Muñoz-Gil , Hans J. Briegel , Michele Caraglio

In Reinforcement Learning (RL), enhancing sample efficiency is crucial, particularly in scenarios when data acquisition is costly and risky. In principle, off-policy RL algorithms can improve sample efficiency by allowing multiple updates…

机器学习 · 计算机科学 2023-12-13 Hojoon Lee , Hanseul Cho , Hyunseung Kim , Daehoon Gwak , Joonkee Kim , Jaegul Choo , Se-Young Yun , Chulhee Yun

Sequential Resource Allocation with situational constraints presents a significant challenge in real-world applications, where resource demands and priorities are context-dependent. This paper introduces a novel framework, SCRL, to address…

人工智能 · 计算机科学 2025-06-18 Libo Zhang , Yang Chen , Toru Takisaka , Kaiqi Zhao , Weidong Li , Jiamou Liu

We tackle the problem of policy learning from expert demonstrations without a reward function. A central challenge in this space is that these policies fail upon deployment due to issues of distributional shift, environment stochasticity,…

机器学习 · 计算机科学 2024-08-19 Victor Kolev , Rafael Rafailov , Kyle Hatch , Jiajun Wu , Chelsea Finn

This paper studies tabular reinforcement learning (RL) in the hybrid setting, which assumes access to both an offline dataset and online interactions with the unknown environment. A central question boils down to how to efficiently utilize…

机器学习 · 计算机科学 2023-05-18 Gen Li , Wenhao Zhan , Jason D. Lee , Yuejie Chi , Yuxin Chen

Classical reinforcement learning (RL) techniques are generally concerned with the design of decision-making policies driven by the maximisation of the expected outcome. Nevertheless, this approach does not take into consideration the…

机器学习 · 计算机科学 2023-01-02 Thibaut Théate , Damien Ernst

Although reinforcement learning (RL) can provide reliable solutions in many settings, practitioners are often wary of the discrepancies between the RL solution and their status quo procedures. Therefore, they may be reluctant to adapt to…

机器学习 · 计算机科学 2019-06-03 Mohammadreza Nazari , Majid Jahani , Lawrence V. Snyder , Martin Takáč

We study the problem of forecasting the number of units fulfilled (or ``drained'') from each inventory warehouse to meet customer demand, along with the associated outbound shipping costs. The actual drain and shipping costs are determined…

机器学习 · 计算机科学 2025-07-16 Riccardo Savorgnan , Udaya Ghai , Carson Eisenach , Dean Foster

We study inventory control policies for pharmaceutical supply chains, addressing challenges such as perishability, yield uncertainty, and non-stationary demand, combined with batching constraints, lead times, and lost sales. Collaborating…

人工智能 · 计算机科学 2025-01-22 Francesco Stranieri , Chaaben Kouki , Willem van Jaarsveld , Fabio Stella

Many Imitation and Reinforcement Learning approaches rely on the availability of expert-generated demonstrations for learning policies or value functions from data. Obtaining a reliable distribution of trajectories from motion planners is…

机器人学 · 计算机科学 2021-07-13 Alexander Lambert , Byron Boots

Reinforcement learning (RL) has achieved tremendous success as a general framework for learning how to make decisions. However, this success relies on the interactive hand-tuning of a reward function by RL experts. On the other hand,…

机器学习 · 计算机科学 2020-11-24 Letian Chen , Rohan Paleja , Muyleng Ghuy , Matthew Gombolay

Order picking is a pivotal operation in warehouses that directly impacts overall efficiency and profitability. This study addresses the dynamic order picking problem, a significant concern in modern warehouse management, where real-time…

最优化与控制 · 数学 2025-04-08 Sasan Mahmoudinazlou , Abhay Sobhanan , Hadi Charkhgard , Ali Eshragh , George Dunn

The development of open benchmarking platforms could greatly accelerate the adoption of AI agents in retail. This paper presents comprehensive simulations of customer shopping behaviors for the purpose of benchmarking reinforcement learning…

人工智能 · 计算机科学 2024-05-20 Yu Xia , Sriram Narayanamoorthy , Zhengyuan Zhou , Joshua Mabry