We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a smooth classical solution to the corresponding HJB equation. Moreover, some verif…
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48 results for “discounted rewards”
Reward tweaking optimizes behavior for long-term goals by adjusting the reward function.
problem Optimizing behavior for long-term goals in reinforcement learning with unstable long planning horizons.
method Reward tweaking learns a surrogate reward function that induces optimal behavior for the original task.
result Reward tweaking guides agents towards better long-term returns while planning for short horizons.
New algorithm reduces reinforcement learning regret to sqrt(T) without strong dynamics assumptions.
problem Infinite-horizon average-reward reinforcement learning with linear MDPs.
method Approximate by discounted-reward MDPs and apply optimistic value iteration.
result Achieves O(sqrt(T)) regret with polynomial complexity.
Faster algorithms for solving multichain MDPs under average-reward criterion.
problem Navigating towards the best connected component in multichain MDPs.
method Developed algorithms to better solve the navigational subproblem, achieving faster convergence rates.
result Improved rates of convergence and sharper complexity measures for multichain MDPs.
New RL method improves on standard discounted RL for operations research.
problem Applying RL to operations research problems, especially with non-zero rewards.
method Near-Blackwell-optimal RL algorithm that assesses average reward per step.
result Proves viability on challenging queuing system problems.
Adaptive policies solve a linear program to maximize rewards while minimizing costs in sales with discounts.
problem Maximizing rewards in sales with discounts while considering costs.
method Solves a linear program based on upper-confidence estimates of conversion probabilities.
result Achieves a regret bound of the typical order (OPT/) , where B is the total budget allowed.
New RL approach handles non-exponential discounting for sequential decisions.
problem Modeling human discounting in sequential decision-making tasks.
method Generalized model-based reinforcement learning with arbitrary discount functions, using Hamilton-Jacobi-Bellman equation and collocation method.
result Validated approach on simulated problems, showing applicability to human discounting.
Q-Learning overestimation bias influenced by learning rate, discount factor, and reward signal.
problem Overestimation bias in Q-Learning algorithm.
method Investigated the influence of learning rate, discount factor, and reward signal on Q-Learning's overestimation bias. Tuned parameters and used an exponential moving average of reward signal.
result Q-Learning can achieve more accurate value estimates by tuning parameters and using an exponential moving average of reward signal.
The Plug-in Approach for Average-Reward and Discounted MDPs: Optimal Sample Complexity Analysiscs.LG
Optimal sample complexity analysis for plug-in approach in average-reward MDPs.
problem Learning optimal policies in average-reward MDPs with a generative model.
method Plug-in approach that constructs a model estimate and computes an optimal policy.
result Optimal sample complexities for the plug-in approach without prior knowledge of problem parameters.
Optimizes learning policies in average-reward MDPs with improved sample complexity.
problem Learning optimal policies in average-reward MDPs with limited samples.
method Reduces to discounted MDPs and uses improved bounds for variance parameters.
result Establishes minimax optimal sample complexity bound of O(SA(H/ε^2))
New RL difficulty shown for discounted settings.
problem Difficulty in reinforcement learning with discounted rewards.
method Adapted Wang et al. (2020) construction to 2-state MDP.
result Learning impossible even with infinite data in discounted setting.
This paper introduces a new reward shaping method for average-reward reinforcement learning.
problem Speeding up convergence to an optimal policy in average-reward reinforcement learning tasks.
method Developed a temporal logic-based approach to automatically generate reward shaping functions.
result The optimal policy can be recovered using the proposed reward shaping framework.
Reinforcement learning (RL) typically defines a discount factor as part of the Markov Decision Process. The discount factor values future rewards by an exponential scheme that leads to theoretical convergence guarantees of the Bellman equation. However, evidence from psychology, economics and neuroscience suggests that…
In this paper, we present an online reinforcement learning algorithm, called Renewal Monte Carlo (RMC), for infinite horizon Markov decision processes with a designated start state. RMC is a Monte Carlo algorithm and retains the advantages of Monte Carlo methods including low bias, simplicity, and ease of implementatio…
Optimizes learning policies in MDPs with weakly communicating structure.
problem Learning optimal policies in weakly communicating MDPs with generative model.
method Span-based approach, reducing to discounted MDPs for analysis.
result First minimax optimal sample complexity bound for weakly communicating MDPs.
The paper explores a Multi-Objective RL approach for trading that generalizes reward functions.
problem Improving performance in single-asset trading through adaptive reward functions.
method Developed a Multi-Objective Deep Reinforcement Learning algorithm to generalize reward functions and discount factors.
result The Multi-Objective algorithm demonstrates increased predictive stability and better performance in sparse reward scenarios.
In this work, we provide theoretical guarantees for reward decomposition in deterministic MDPs. Reward decomposition is a special case of Hierarchical Reinforcement Learning, that allows one to learn many policies in parallel and combine them into a composite solution. Our approach builds on mapping this problem into a…
New RL approach uses future state and action visitation measures for better exploration.
problem Improving exploration in reinforcement learning.
method Intrinsic reward based on future state and action visitation measures, using contraction operators.
result Policies achieve good state-action space coverage and high performance.
DS-TS adapts to abrupt and smooth changes in bandit problems.
problem Non-stationary multi-armed bandit problems with abrupt and smooth changes.
method Discounted Thompson Sampling with Gaussian priors.
result Achieves nearly optimal regret bound for both abrupt and smooth changes.
The paper introduces a new intrinsic reward method for exploration in reinforcement learning.
problem Improving exploration in reinforcement learning agents.
method Intrinsic rewards proportional to the entropy of future state-action features.
result The new objective leads to improved visitation of features within individual trajectories.
Intertemporal decision making involves choices among options whose effects occur at different moments. These choices are influenced not only by the effect of rewards value perception at different moments, but also by the time perception effect. One of the main difficulties that affect standard experiments involving int…
NVMDP framework tackles non-stationary MDPs with varying discount rates.
problem Challenges in non-stationary environments and infinite-horizon formulations for reinforcement learning.
method Introduces NVMDP framework that accommodates non-stationarity and varying discount rates.
result NVMDPs provide a flexible mechanism to shape optimal policies without altering state or action spaces.
Improved RL algorithm with linear MDPs for offline learning with partial data coverage.
problem Efficient offline RL with linear MDPs under partial data coverage.
method Primal-dual algorithm with sample complexity.
result First computationally efficient algorithm with sample complexity for offline RL with linear MDPs under partial data coverage.
In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of Lévy models with a continuous additive functional (CAF) discounting. Under spectrally negative models, we specialize this in terms of conditions on the reward function and ran…
New algorithm for nonstationary GLBs reduces computation and memory costs.
problem Nonstationary generalized linear bandits with unknown time-varying parameters.
method Discounted Online Mirror Descent (DOMD) for parameter estimation.
result Dynamic regret bounds of order per round in drifting and piecewise-stationary environments.
In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in rewards in addition to maximizing a standard criterion. Variance related risk measures are among the most common risk-sensitive criteria in finance and operations research. However, optimizing many such c…
PSRL extension for continuing environments reduces regret.
problem Formalizing and analyzing resampling approach for reinforcement learning.
method Continuing PSRL maintains a model of the environment and replaces it with samples from the posterior distribution.
result Established an bound on Bayesian regret.
In classical Q-learning, the objective is to maximize the sum of discounted rewards through iteratively using the Bellman equation as an update, in an attempt to estimate the action value function of the optimal policy. Conventionally, the loss function is defined as the temporal difference between the action value and…
A new estimator for state values in reinforcement learning reduces complexity and improves convergence.
problem Estimating state values in reinforcement learning with Markov reward processes.
method Loop estimator exploiting regenerative structure of Markov reward processes.
result Instance-dependent convergence rate of for estimating state values.
New offline RL method handles average-reward MDPs with single-policy coverage.
problem Challenges in offline reinforcement learning due to distribution shift and non-uniform coverage.
method Develops an algorithm based on pessimistic discounted value iteration with quantile clipping.
result First fully single-policy sample complexity bound for average-reward offline RL.
There exist a number of reinforcement learning algorithms which learnby climbing the gradient of expected reward. Their long-runconvergence has been proved, even in partially observableenvironments with non-deterministic actions, and without the need fora system model. However, the variance of the gradient estimator ha…
New RL algorithms improve average-reward performance.
problem Improving RL algorithms for average-reward criteria.
method Developed novel algorithms addressing average-reward criterion directly.
result ATRPO significantly outperforms TRPO in challenging MuJuCo environments.
Adaptive exploration scheme for evaluating multiple policies with different rewards.
problem Online multi-reward multi-policy evaluation.
method Adapted -PAC perspective and MR-NaS exploration scheme to minimize sample complexity.
result Demonstrated effectiveness of adaptive exploration in tabular domains.
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.
In reinforcement learning, Return, which is the weighted accumulated future rewards, and Value, which is the expected return, serve as the objective that guides the learning of the policy. In classic RL, return is defined as the exponentially discounted sum of future rewards. One key insight is that there could be many…
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…
Deep reinforcement learning has obtained significant breakthroughs in recent years. Most methods in deep-RL achieve good results via the maximization of the reward signal provided by the environment, typically in the form of discounted cumulative returns. Such reward signals represent the immediate feedback of a partic…
We consider the problem of learning from sparse and underspecified rewards, where an agent receives a complex input, such as a natural language instruction, and needs to generate a complex response, such as an action sequence, while only receiving binary success-failure feedback. Such success-failure rewards are often …
Paper introduces novel Bandit algorithms for non-stationary environments in finance.
problem Non-stationary reward distributions in financial markets.
method Introduces Adaptive Discounted Thompson Sampling (ADTS) and Combinatorial Adaptive Discounted Thompson Sampling (CADTS) for non-stationary environments in portfolio optimization.
result Bandit Networks improve portfolio optimization performance by 20% compared to classical models.
The paper studies reward concentration in MDPs, covering asymptotic and non-asymptotic settings.
problem Reward concentration in Markov Decision Processes (MDPs).
method Unified approach to reward concentration in MDPs, including asymptotic and non-asymptotic bounds.
result Rate-equivalent definitions of regret for learning policies.
Paper proposes new -regret measure for non-episodic RL.
problem Measuring performance in non-episodic RL environments.
method Introduces -regret as a new performance measure and derives bounds.
result Closed the gap between lower and upper bounds for -regret.
We investigate two perturbation approaches to overcome conservatism that optimism based algorithms chronically suffer from in practice. The first approach replaces optimism with a simple randomization when using confidence sets. The second one adds random perturbations to its current estimate before maximizing the expe…
This paper improves Thompson Sampling for complex decision-making problems.
problem Learning in infinite-horizon discounted decision processes with unknown parameters.
method Developed a general canonical probability space and new metrics for analyzing adaptive learning algorithms.
result Thompson Sampling achieves complete learning in complex decision-making problems.
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.
Model-free reinforcement learning is known to be memory and computation efficient and more amendable to large scale problems. In this paper, two model-free algorithms are introduced for learning infinite-horizon average-reward Markov Decision Processes (MDPs). The first algorithm reduces the problem to the discounted-r…
Optimal Sample Complexity of Reinforcement Learning for Mixing Discounted Markov Decision Processescs.LG
New RL theory reduces sample complexity for mixing MDPs.
problem Optimal sample complexity for reinforcement learning in mixing MDPs.
method Regeneration-type ideas to analyze mixing times.
result Optimal sample complexity depends on mixing time, not just discount factor.
Policy gradient algorithms typically combine discounted future rewards with an estimated value function, to compute the direction and magnitude of parameter updates. However, for most Reinforcement Learning tasks, humans can provide additional insight to constrain the policy learning. We introduce a general method to i…
Overview of risk-sensitive Markov decision processes with Optimized Certainty Equivalent.
problem Optimizing decision-making under risk in Markov processes.
method Analyzes risk-sensitive criteria using Optimized Certainty Equivalent, including entropic risk and Conditional Value-at-Risk.
result Conditions for the existence of optimal policies and solution procedures are provided.