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.
Entropy regularization improves policy optimization in reinforcement learning.
problem Improving policy optimization in reinforcement learning.
method Entropy regularization is introduced to soften the greedy policy towards a more diverse softmax policy, leading to a continuously parameterized algorithm that interpolates between policy gradient and Q-learning.
result An intermediate algorithm can improve performance in reinforcement learning.
Temporal difference learning and Residual Gradient methods are the most widely used temporal difference based learning algorithms; however, it has been shown that none of their objective functions is optimal w.r.t approximating the true value function V. Two novel algorithms are proposed to approximate the true value…
This paper optimizes sampling policies for Bayesian optimization to improve exploration and exploitation.
problem Improving the balance between exploration and exploitation in Bayesian optimization.
method Developed efficient methods to estimate and optimize non-myopic acquisition functions using rollout policies and stochastic gradient optimization.
result Efficient optimization of sampling policies leads to better performance in Bayesian optimization.
N-discount optimality was introduced as a hierarchical form of policy- and value-function optimality, with Blackwell optimality lying at the top level of the hierarchy Veinott (1969); Blackwell (1962). We formalize notions of myopic discount factors, value functions and policies in terms of Blackwell optimality in MDPs…
Entropy regularization is commonly used to improve policy optimization in reinforcement learning. It is believed to help with \emph{exploration} by encouraging the selection of more stochastic policies. In this work, we analyze this claim using new visualizations of the optimization landscape based on randomly perturbi…
Managers of US National Forests must decide what policy to apply for dealing with lightning-caused wildfires. Conflicts among stakeholders (e.g., timber companies, home owners, and wildlife biologists) have often led to spirited political debates and even violent eco-terrorism. One way to transform these conflicts into…
We consider off-policy evaluation and optimization with continuous action spaces. We focus on observational data where the data collection policy is unknown and needs to be estimated. We take a semi-parametric approach where the value function takes a known parametric form in the treatment, but we are agnostic on how i…
We compare the model-free reinforcement learning with the model-based approaches through the lens of the expressive power of neural networks for policies, Q-functions, and dynamics. We show, theoretically and empirically, that even for one-dimensional continuous state space, there are many MDPs whose optimal Q-func…
PPO algorithm converges to global optimality in multi-agent reinforcement learning.
problem Designing statistical guarantees for policy optimization methods in multi-agent reinforcement learning.
method Leveraging a multi-agent performance difference lemma, a localized action value function is used as a descent direction for each local policy, leading to a multi-agent PPO algorithm.
result The multi-agent PPO algorithm converges to the globally optimal policy at a sublinear rate under standard regularity conditions.
We study the safe reinforcement learning problem with nonlinear function approximation, where policy optimization is formulated as a constrained optimization problem with both the objective and the constraint being nonconvex functions. For such a problem, we construct a sequence of surrogate convex constrained optimiza…
A key problem in reinforcement learning for control with general function approximators (such as deep neural networks and other nonlinear functions) is that, for many algorithms employed in practice, updates to the policy or Q-function may fail to improve performance---or worse, actually cause the policy performance …
Policy optimization is an effective reinforcement learning approach to solve continuous control tasks. Recent achievements have shown that alternating online and offline optimization is a successful choice for efficient trajectory reuse. However, deciding when to stop optimizing and collect new trajectories is non-triv…
In this paper, we propose a distributed off-policy actor critic method to solve multi-agent reinforcement learning problems. Specifically, we assume that all agents keep local estimates of the global optimal policy parameter and update their local value function estimates independently. Then, we introduce an additional…
We consider a version of the stochastic inventory control problem for a spectrally positive Lévy demand process, in which the inventory can only be replenished at independent exponential times. We show the optimality of a periodic barrier replenishment policy that restocks any shortage below a certain threshold at each…