The impact of softmax on the value function itself in reinforcement learning (RL) is often viewed as problematic because it leads to sub-optimal value (or Q) functions and interferes with the contraction properties of the Bellman operator. Surprisingly, despite these concerns, and independent of its effect on explorati…
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48 results for “Bellman operator”
Study solves optimal portfolio selection using HJB equation.
problem Optimal portfolio selection problem.
method Maximal monotone operator method, Banach fixed-point theorem, Fourier transform, monotone operators technique.
result Existence and uniqueness of solution to HJB equation.
DSPI connects natural policy gradient to policy iteration, proving global convergence.
problem Optimizing policies in reinforcement learning.
method DSPI framework, combining smoothed policy iteration and natural policy gradient.
result DSPI achieves geometric convergence and optimal complexity for policy optimization.
The paper analyzes off-policy TD-learning using generalized Bellman operators and provides finite-sample bounds.
problem High variance in off-policy TD-learning due to importance sampling.
method Derives finite-sample bounds for off-policy TD-like algorithms using generalized Bellman operators.
result First-known finite-sample guarantees for several off-policy TD algorithms.
Richard Bellman's Principle of Optimality, formulated in 1957, is the heart of dynamic programming, the mathematical discipline which studies the optimal solution of multi-period decision problems. In this paper, we look at the main trading principles of Jesse Livermore, the legendary stock operator whose method was pu…
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 iteration (AVI) scheme. Neural networks are often used as function approximators, i…
Efficient Learning for Entropy-Regularized Markov Decision Processes via Multilevel Monte Carlocs.LG
New algorithms reduce complexity for learning in MDPs with entropy regularization.
problem Efficient learning for MDPs with large or continuous state and action spaces.
method Multilevel Monte Carlo (MLMC) algorithms integrating fixed-point iteration and stochastic approximation of the Bellman operator.
result MLMC with unbiased approximation of the Bellman operator achieves polynomial sample complexity.
New method improves stability of soft FQI for offline RL.
problem Stability issues in soft FQI under function approximation.
method Stationary reweighting to align operator norms.
result Local linear convergence proved under certain conditions.
New method stabilizes FQE by reweighting Bellman targets.
problem Stability guarantees for FQE often rely on Bellman completeness, which can fail with function approximation.
method Proposes stationary-weighted FQE, reweighting Bellman targets by stationary target-to-behavior density ratio.
result Proves finite-sample linear convergence to stationary projected Bellman fixed point without Bellman completeness.
A new estimator combines bootstrapping and rollout methods in RL.
problem Combining strengths of bootstrapping and rollout methods in RL.
method Subgraph Bellman operators and fixed point solving.
result Upper bound on error approaches optimal TD variance with additional term.
One-step Bellman alignment improves online RL by reducing task mismatch.
problem Online RL struggles with task similarity defined by rewards or transitions.
method One-step Bellman alignment and re-weighted targeting (RWT) to correct task mismatch.
result Regret bounds show task shift complexity, not target MDP, affects performance.
FORE evaluates occupancy ratios without requiring Bellman completeness.
problem Offline reinforcement learning occupancy ratio estimation.
method Fitted occupancy-ratio evaluation (FORE) using adjoint Bellman recursion.
result FORE achieves convergence in KL without Bellman completeness.
The paper tackles non-cumulative objectives in reinforcement learning and proposes modifications to existing algorithms.
problem Optimizing objectives that are not naturally expressed as summations of rewards in various fields.
method The paper modifies the Bellman optimality equation to handle non-cumulative objectives by replacing summation with a generalized operation.
result The modified Bellman updates can converge to the globally optimal solution under certain conditions.
The paper tackles data-driven optimal control of unknown nonlinear systems using RKHS.
problem Unknown nonlinear dynamics and stage cost functions.
method Embed state densities into RKHS, learn Markov operators, solve Hamilton-Jacobi-Bellman recursions.
result Solves a wide range of nonlinear control problems, including depth regulation.
The paper solves a complex financial optimization problem using a novel mathematical technique.
problem Optimizing portfolio selection in financial markets.
method Maximal monotone operator method and Riccati transformation.
result Existence and uniqueness of a solution to the transformed parabolic equation in a Sobolev space.
Market makers optimize trading with a new implicit scheme for complex inequalities.
problem Optimizing trading in a limit order book with stochastic and impulse control.
method Implicit numerical scheme coupled with policy iteration algorithm.
result Convergence to the unique viscosity solution of the HJBQVI.
We consider a new family of operators for reinforcement learning with the goal of alleviating the negative effects and becoming more robust to approximation or estimation errors. Various theoretical results are established, which include showing on a sample path basis that our family of operators preserve optimality an…
New method learns policies from offline data using operator models.
problem Limited understanding of approximation errors in offline reinforcement learning.
method Linking reinforcement learning to Hamilton-Jacobi-Bellman equation, proposing operator-theoretic algorithm.
result Global convergence of the value function and finite-sample guarantees derived.
Stochastic differential equation approximation for linear TD(0) under Markovian noise
problem Temporal-difference learning with linear function approximation
method Stochastic differential equation approximation
result Explains the constant-stepsize error floor
We consider a general class of non-linear Bellman equations. These open up a design space of algorithms that have interesting properties, which has two potential advantages. First, we can perhaps better model natural phenomena. For instance, hyperbolic discounting has been proposed as a mathematical model that matches …
Paper establishes DRL for high-dimensional rewards.
problem Intractable reinforcement learning with high-dimensional rewards.
method Theoretical foundations and a novel DRL algorithm.
result Bellman operator contraction in high-dimensional spaces.
Novel framework proves fast RL convergence in continuous spaces.
problem Analyzing stability in continuous state-action RL.
method Introduces a novel framework to analyze stability properties of RL.
result Highlights two key stability properties and demonstrates their satisfaction in RL.
New RL formulation for maximizing maximum reward in molecule generation.
problem Traditional RL frameworks do not fit real-world applications like drug discovery.
method Formulated a new objective function to maximize maximum reward, derived Bellman equation, introduced operators, and proved convergence.
result Achieved state-of-the-art results in molecule generation.
Survey of mathematical foundations for reinforcement learning.
problem Design and analysis of modern reinforcement learning algorithms.
method Organizes mathematical structures from probability, optimization, and operator theory.
result Unified mathematical entry point for researchers in various fields.
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii) penalized, and (iii) semi-Lagrangian discretization schemes applied to the HJBQVI proble…
Optimal reinsurance strategies for multi-line insurance companies.
problem Choosing the best dynamic reinsurance policies for multi-line insurance companies.
method Characterized the optimal survival function as the unique nondecreasing viscosity solution of the HJB equation, solved numerically using the finite difference method.
result Provided proof of convergence of numerical solution to the survival probability function.
A framework solves parametric families of MFGs efficiently.
problem Efficiently solving MFG systems with varying initial distributions and terminal costs.
method Operator learning framework for parametric families of MFGs.
result Accurate approximation for cybersecurity and quadratic MFGs.
Kernel-based methods improve policy evaluation in MRP models.
problem Estimating value functions in infinite-horizon discounted MRP models.
method Kernel-based temporal difference methods using reproducing kernel Hilbert spaces.
result Optimal error bounds derived for the kernel-based LSTD estimate.
The Bellman error is a poor proxy for value function accuracy, even with all state-action pairs.
problem The Bellman error is a poor proxy for the accuracy of the value function.
method Study of the Bellman equation as a surrogate objective for value prediction accuracy.
result The magnitude of the Bellman error is only weakly related to the distance to the true value function, even with all state-action pairs.
Recently, \citet{SuttonMW15} introduced the emphatic temporal differences (ETD) algorithm for off-policy evaluation in Markov decision processes. In this short note, we show that the projected fixed-point equation that underlies ETD involves a contraction operator, with a -contraction modulus (where is the …
New algorithms solve robust MDPs efficiently, significantly faster than existing methods.
problem Computing robust MDP solutions with uncertainty in transition probabilities is computationally expensive.
method Partial policy iteration and fast robust Bellman operator computation methods.
result The proposed methods are many orders of magnitude faster than state-of-the-art approaches.
Paper addresses underestimation bias in double Q-learning, proposing a method to improve learning performance.
problem Underestimation bias in double Q-learning leading to non-optimal fixed points.
method Proposes a simple approach using approximate dynamic programming to bound the target value.
result Significant improvement in learning performance over baseline algorithms in Atari benchmark tasks.
Unified theory of -expectations derived from chaotic dynamics.
problem Non-convex stochastic control problems outside G-expectations.
method Spectral theory of transfer operators for uniformly hyperbolic flows, viscosity solutions to HJB equations.
result Affine Hessian, non-convex gradient structure of -expectation.
Core-Halo solves large-scale fixed-point problems by decentralizing updates.
problem Large-scale fixed-point equations with block dependencies.
method Core-Halo decomposition separates write ownership from read-only context, aligning with block-dependence structure.
result Core-Halo achieves near-centralized performance while retaining parallelism.
We provide a framework for incorporating robustness -- to perturbations in the transition dynamics which we refer to as model misspecification -- into continuous control Reinforcement Learning (RL) algorithms. We specifically focus on incorporating robustness into a state-of-the-art continuous control RL algorithm call…
Second-order estimator improves continuous-time policy evaluation.
problem Estimating value surfaces from discrete data with time-inhomogeneous dynamics.
method Moment-matching coefficients for high-order generator regression.
result Second-order estimator consistently outperforms Bellman baseline.
A new method calibrates value predictions in offline RL to improve reliability.
problem Difficulty in long-horizon value prediction in offline reinforcement learning.
method Bellman calibration, a weak reliability criterion, and Iterated Bellman Calibration.
result Finite-sample guarantees show that Bellman calibration error is controlled at nonparametric rates.
New method reduces sample complexity for robust reinforcement learning.
problem Finite sample analysis in robust reinforcement learning.
method Stochastic approximation framework with controlled bias, using MLMC techniques and geometric truncation.
result Order-optimal sample complexity of for robust policy evaluation.
Exponential Bellman Equation and Improved Regret Bounds for Risk-Sensitive Reinforcement Learningcs.LG
Improved risk-sensitive RL with exponential Bellman equation and better regret bounds.
problem Exponential gap between upper and lower bounds in risk-sensitive RL.
method Identified and addressed deficiencies in existing algorithms and analysis; developed novel analysis and exploration mechanism.
result Improved regret upper bounds over existing ones.
New Bellman error estimator improves offline model selection performance.
problem Selecting the best policy from logged data using mean squared Bellman error.
method Developed a more accurate estimator of MSBE and analyzed conditions for successful OMS.
result New estimator achieves impressive offline model selection performance on diverse tasks.
Value function learning plays a central role in many state-of-the-art reinforcement-learning algorithms. Many popular algorithms like Q-learning do not optimize any objective function, but are fixed-point iterations of some variant of Bellman operator that is not necessarily a contraction. As a result, they may easily …
Study risk-sensitive market making with entropy regularization for better quote control.
problem Risk-sensitive market making with exponential utility and penalties.
method Entropy-regularized certainty-equivalent Bellman policies for discrete-time market dynamics.
result Proves convergence and performance bounds for entropy-regularized policies.
The paper explores solutions to the distributional Bellman equation in reinforcement learning.
problem Distributional reinforcement learning considers complete return distributions, not just expected returns.
method Study existence and uniqueness of solutions to general distributional Bellman equations, linking them to multivariate affine equations.
result Any solution to a distributional Bellman equation can be derived from a multivariate affine distributional equation.
This paper investigates sufficient conditions for a Feynman-Kac functional up to an exit time to be the generalized viscosity solution of a Dirichlet problem. The key ingredient is to find out the continuity of exit operator under Skorokhod topology, which reveals the intrinsic connection between overfitting Dirichlet …
Robust Q-learning algorithm resists corrupted rewards.
problem Non-ideal environments with corrupted rewards.
method Developed a novel robust Q-learning algorithm using historical data.
result Finite-time convergence rate matches state-of-the-art bounds.
The paper reinterprets policy gradient methods using operator theory.
problem Understanding and improving policy gradient methods.
method Introducing operator-based versions of policy gradient methods and deriving a new lower bound.
result A new perspective on policy gradient methods bridges the gap between policy and value-based approaches.
We obtain the classical Hanner inequalities by the Bellman function method. These inequalities give sharp estimates for the moduli of convexity of Lebesgue spaces. Easy ideas from differential geometry help us to find the Bellman function using neither "magic guesses" nor calculations.
Paper studies offline RL with linear approx, focusing on inherent Bellman error.
problem Offline RL with linear approx, focusing on inherent Bellman error.
method Algorithm that succeeds under single-policy coverage condition, leveraging inherent Bellman error.
result Algorithm yields first known guarantee under single-policy coverage, even for linear Bellman completeness.