相关论文: Optimistic and Topological Value Iteration for Sim…

Value iteration is a powerful yet inefficient algorithm for Markov decision processes (MDPs) because it puts the majority of its effort into backing up the entire state space, which turns out to be unnecessary in many cases. In order to…

One key challenge for solving a general stochastic optimization problem with expectations in the objective and constraint functions using ordinary stochastic iterative methods lies in the infeasibility issue caused by the randomness over…

The Team Orienteering Problem (TOP) generalizes many real-world multi-robot scheduling and routing tasks that occur in autonomous mobility, aerial logistics, and surveillance applications. While many flavors of the TOP exist for planning in…

Two standard models for probabilistic systems are Markov chains (MCs) and Markov decision processes (MDPs). Classic objectives for such probabilistic models for control and planning problems are reachability and stochastic shortest path.…

This paper considers variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions and provides three stochastic approximation schemes to solve them. All methods use an empirical estimate of the CVaR…

Unique Sink Orientations (USOs) are an appealing abstraction of several major optimization problems of applied mathematics such as for instance Linear Programming (LP), Markov Decision Processes (MDPs) or 2-player Turn Based Stochastic…

Stochastic variational inference offers an attractive option as a default method for differentiable probabilistic programming. However, the performance of the variational approach depends on the choice of an appropriate variational family.…

Iterated admissibility is a well-known and important concept in classical game theory, e.g. to determine rational behaviors in multi-player matrix games. As recently shown by Berwanger, this concept can be soundly extended to infinite games…

We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We…

Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is…

Many security and other real-world situations are dynamic in nature and can be modelled as strictly competitive (or zero-sum) dynamic games. In these domains, agents perform actions to affect the environment and receive observations --…

In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…

We introduce Support Decomposition Variational Inference (SDVI), a new variational inference (VI) approach for probabilistic programs with stochastic support. Existing approaches to this problem rely on designing a single global variational…

A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…

In several standard models of dynamic programming (gambling houses, MDPs, POMDPs), we prove the existence of a very robust notion of value for the infinitely repeated problem, namely the pathwise uniform value. This solves two open…

In this paper, we consider the stochastic iterative counterpart of the value iteration scheme wherein only noisy and possibly biased approximations of the Bellman operator are available. We call this counterpart as the approximate value…

The goal in this paper is to approximate the Price of Stability (PoS) in stochastic Nash games using stochastic approximation (SA) schemes. PoS is amongst the most popular metrics in game theory and provides an avenue for estimating the…

Variance reduction techniques like SVRG provide simple and fast algorithms for optimizing a convex finite-sum objective. For nonconvex objectives, these techniques can also find a first-order stationary point (with small gradient). However,…

While discounted payoff games and classic games that reduce to them, like parity and mean-payoff games, are symmetric, their solutions are not. We have taken a fresh view on the properties that optimal solutions need to have, and devised a…

We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…