A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New model-free DR-RL algorithm with finite sample complexity.
We study the sample complexity of model-based reinforcement learning (henceforth RL) in general contextual decision processes that require strategic exploration to find a near-optimal policy. We design new algorithms for RL with a generic model class and analyze their statistical properties. Our algorithms have sample …
We study an exploration method for model-free RL that generalizes the counter-based exploration bonus methods and takes into account long term exploratory value of actions rather than a single step look-ahead. We propose a model-free RL method that modifies Delayed Q-learning and utilizes the long-term exploration bonu…
Improves sample efficiency in RL by matching model-based gradients.
New algorithm tackles non-stationary RL with near-optimal regret bounds.
Safe RL-based vibration control using LQR guidance.
New hybrid RL algorithm outperforms model-free and model-based methods.
Consider mutli-goal tasks that involve static environments and dynamic goals. Examples of such tasks, such as goal-directed navigation and pick-and-place in robotics, abound. Two types of Reinforcement Learning (RL) algorithms are used for such tasks: model-free or model-based. Each of these approaches has limitations.…
Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk Parity collapse into Mean Variance under some conditions, which implies that a universal solution to the portfolio optimizat…
MOOSE improves offline RL robustness by using dynamics models.
The goal of reinforcement learning (RL) is to let an agent learn an optimal control policy in an unknown environment so that future expected rewards are maximized. The model-free RL approach directly learns the policy based on data samples. Although using many samples tends to improve the accuracy of policy learning, c…
Model-free Reinforcement Learning (RL) algorithms such as Q-learning [Watkins, Dayan 92] have been widely used in practice and can achieve human level performance in applications such as video games [Mnih et al. 15]. Recently, equipped with the idea of optimism in the face of uncertainty, Q-learning algorithms [Jin, Al…
MOPO optimizes offline RL by penalizing dynamics uncertainty.
Bayesian approach improves -greedy exploration in RL.
Combines model-based and model-free RL for better financial market performance.
Model-free reinforcement learning (RL) algorithms, such as Q-learning, directly parameterize and update value functions or policies without explicitly modeling the environment. They are typically simpler, more flexible to use, and thus more prevalent in modern deep RL than model-based approaches. However, empirical wor…
Unified framework for policy improvement in RL with benefits in data efficiency and computation.
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a challenging problem. Here, we design a deep reinforcement learning (RL) architec…
New algorithm improves RL performance across different environments.
Enhances RL agents with predictive internal representations.
The field of reinforcement learning (RL) is facing increasingly challenging domains with combinatorial complexity. For an RL agent to address these challenges, it is essential that it can plan effectively. Prior work has typically utilized an explicit model of the environment, combined with a specific planning algorith…
RL agents outperform baselines in asset allocation.
How to best explore in domains with sparse, delayed, and deceptive rewards is an important open problem for reinforcement learning (RL). This paper considers one such domain, the recently-proposed multi-agent benchmark of Pommerman. This domain is very challenging for RL --- past work has shown that model-free RL algor…
Model-based reinforcement learning (RL) algorithms can attain excellent sample efficiency, but often lag behind the best model-free algorithms in terms of asymptotic performance. This is especially true with high-capacity parametric function approximators, such as deep networks. In this paper, we study how to bridge th…
Model-free deep reinforcement learning (RL) algorithms have been widely used for a range of complex control tasks. However, slow convergence and sample inefficiency remain challenging problems in RL, especially when handling continuous and high-dimensional state spaces. To tackle this problem, we propose a general acce…
New RL algorithm reduces sample complexity for optimal learning.
Dealing with high variance is a significant challenge in model-free reinforcement learning (RL). Existing methods are unreliable, exhibiting high variance in performance from run to run using different initializations/seeds. Focusing on problems arising in continuous control, we propose a functional regularization appr…
Model-free approaches for reinforcement learning (RL) and continuous control find policies based only on past states and rewards, without fitting a model of the system dynamics. They are appealing as they are general purpose and easy to implement; however, they also come with fewer theoretical guarantees than model-bas…
New model-free RL algorithm tackles robust average-reward problems with finite sample complexity analysis.
A new framework reduces RL sample complexity for complex MDPs.
New method circumvents non-convexity in bilevel RL via hyper-gradient.
Paper develops efficient RL algorithm for general value function approximation.
The effectiveness of model-based versus model-free methods is a long-standing question in reinforcement learning (RL). Motivated by recent empirical success of RL on continuous control tasks, we study the sample complexity of popular model-based and model-free algorithms on the Linear Quadratic Regulator (LQR). We show…
New RL algorithms reduce costs for single-agent and federated learning.
Reinforcement Learning (RL) agents require the specification of a reward signal for learning behaviours. However, introduction of corrupt or stochastic rewards can yield high variance in learning. Such corruption may be a direct result of goal misspecification, randomness in the reward signal, or correlation of the rew…
New RL method nearly optimally learns policies with generative models.
Multi-step greedy policies have been extensively used in model-based reinforcement learning (RL), both when a model of the environment is available (e.g.,~in the game of Go) and when it is learned. In this paper, we explore their benefits in model-free RL, when employed using multi-step dynamic programming algorithms: …
When agents interact with a complex environment, they must form and maintain beliefs about the relevant aspects of that environment. We propose a way to efficiently train expressive generative models in complex environments. We show that a predictive algorithm with an expressive generative model can form stable belief-…
New RL algorithm tackles non-stationary environments with flexible policy updates.
RPPs improve deep learning models with soft equivariance constraints.
Eigenoptions improve credit assignment in reinforcement learning.
VMBPO optimizes model and policy jointly using variational lower-bound.
Efficient Reinforcement Learning usually takes advantage of demonstration or good exploration strategy. By applying posterior sampling in model-free RL under the hypothesis of GP, we propose Gaussian Process Posterior Sampling Reinforcement Learning(GPPSTD) algorithm in continuous state space, giving theoretical justif…
In this paper, a novel experienced deep reinforcement learning (deep-RL) framework is proposed to provide model-free resource allocation for ultra reliable low latency communication (URLLC). The proposed, experienced deep-RL framework can guarantee high end-to-end reliability and low end-to-end latency, under explicit …
Reinforcement Learning (RL) aims at learning an optimal behavior policy from its own experiments and not rule-based control methods. However, there is no RL algorithm yet capable of handling a task as difficult as urban driving. We present a novel technique, coined implicit affordances, to effectively leverage RL for u…
Model-free reinforcement learning (RL) can be used to learn effective policies for complex tasks, such as Atari games, even from image observations. However, this typically requires very large amounts of interaction -- substantially more, in fact, than a human would need to learn the same games. How can people learn so…
Agents learn social skills from each other, improving performance.
SPAQL improves RL by adaptively partitioning state-action space and learning a time-invariant policy.