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December 2, 2020

Dynamic contracts with partial observations: application to indirect load controlÂ American Control Conference (ACC), 2014. This reward is the sum of reward the agent receives instead of the reward agent receives from the current state (immediate reward). In reinforcement learning, we aim to maximize the cumulative reward in an episode. Markov decision process (MDP): Basics of dynamic programming; finite horizon MDP with quadratic cost: Bellman equation, value iteration; optimal stopping problems; partially observable MDP; Infinite horizon discounted cost problems: Bellman equation, value iteration and its convergence analysis, policy iteration and its convergence analysis, linear programming; stochastic shortest path problems; undiscounted cost problems; average cost problems: optimality equation, relative value iteration, policy iteration, linear programming, Blackwell optimal policy; semi-Markov decision process; constrained MDP: relaxation via Lagrange multiplier, Reinforcement learning: Basics of stochastic approximation, Kiefer-Wolfowitz algorithm, simultaneous perturbation stochastic approximation, Q learning and its convergence analysis, temporal difference learning and its convergence analysis, function approximation techniques, deep reinforcement learning, "Dynamic programming and optimal control," Vol. Video of an Overview Lecture on Distributed RL from IPAM workshop at UCLA, Feb. 2020 ().. Video of an Overview Lecture on Multiagent RL from a lecture at ASU, Oct. 2020 ().. deep neural networks . Insoon Yang,Â Duncan S. Callaway, andÂ Claire J. Tomlin However, there is an extra feature that can make it very challenging for standard reinforcement learning algorithms to control stochastic networks. Since the current policy is not optimized in early training, a stochastic policy will allow some form of exploration. Margaret P. Chapman, Jonathan P. Lacotte, Kevin M. Smith, Insoon Yang, Yuxi Han, Marco Pavone, Clare J. Tomlin, Wasserstein distributionally robust stochastic control: A data-driven approach Reinforcement learning: Basics of stochastic approximation, Kiefer-Wolfowitz algorithm, simultaneous perturbation stochastic approximation, Q learning and its convergence analysis, temporal difference learning and its convergence analysis, function approximation techniques, deep reinforcement learning Reinforcement learning (RL) is currently one of the most active and fast developing subareas in machine learning. Prasad and L.A. Prashanth, ELL729 Stochastic control and reinforcement learning). Slides for an extended overview lecture on RL: Ten Key Ideas for Reinforcement Learning and Optimal Control. On improving the robustness of reinforcement learning-based controllers using disturbance observer L:7,j=l aij VXiXj (x)] uEU In the following, we assume that 0 is bounded. Then we propose a RL algorithm based on this scheme and prove its convergence […] Safe reinforcement learning for probabilistic reachability and safety specifications, Hamilton-Jacobi-Bellman Equations for Q-Learning in Continuous Time, Wasserstein distributionally robust stochastic control: A data-driven approach, A convex optimization approach to dynamic programming in continuous state and action spaces, Stochastic subgradient methods for dynamic programming in continuous state and action spaces, A dynamic game approach to distributionally robust safety specifications for stochastic systems, Safety-aware optimal control of stochastic systems using conditional value-at-risk, A convex optimization approach to distributionally robust Markov decision processes with Wasserstein distance, Distributionally robust stochastic control with conic confidence sets, Optimal control of conditional value-at-risk in continuous time, Variance-constrained risk sharing in stochastic systems, Path integral formulation of stochastic optimal control with generalized costs, Dynamic contracts with partial observations: application to indirect load control. In on-policy learning, we optimize the current policy and use it to determine what spaces and actions to explore and sample next. Due to the uncertain traffic demand and supply, traffic volume of a link is a stochastic process and the state in the reinforcement learning system is highly dependent on that. IEEE Conference on Decision and Control (CDC), 2019. How should it be viewed from a control systems perspective? Subin Huh, and Insoon Yang. IFAC World Congress, 2014. Stochastic … This is the network load. We consider reinforcement learning (RL) in continuous time with continuous feature and action spaces. Reinforcement learning can be applied even when the environment is largely unknown and well-known algorithms are temporal difference learning [10], Q-learning [11] and the actor-critic IEEE Conference on Decision and Control (CDC), 2019. Learning for Dynamics and Control (L4DC), 2020. Insoon Yang, A convex optimization approach to dynamic programming in continuous state and action spaces (Selected for presentation at CDC 17). Insoon Yang,Â Duncan S. Callaway, andÂ Claire J. Tomlin IEEE Control Systems Letters, 2017. READ FULL TEXT VIEW PDF Stochastic optimal control emerged in the 1950’s, building on what was already a mature community for deterministic optimal control that emerged in the early 1900’s and has been adopted around the world. Â© Copyright CORE, Seoul National University. Off-policy learning allows a second policy. A dynamic game approach to distributionally robust safety specifications for stochastic systems American Control Conference (ACC), 2018. Path integral formulation of stochastic optimal control with generalized costs Distributionally robust stochastic control with conic confidence sets SIAM Journal on Control and Optimization, 2017. Note that these four classes of policies span all the standard modeling and algorithmic paradigms, including dynamic programming (including approximate/adaptive dynamic programming and reinforcement learning), stochastic programming, and optimal control (including model predictive control). Two distinct properties of traffic dynamics are: the similarity of traffic pattern (e.g., the traffic pattern at a particular link on each Sunday during 11 am-noon) and heterogeneity in the network congestion. Reinforcement learning, on the other hand, emerged in the 1990’s building on the foundation of Markov decision processes which was introduced in the 1950’s (in fact, the first use of the term “stochastic optimal control” is attributed to Bellman, who invented Markov decision processes). Re membering all previous transitions allows an additional advantage for control exploration can be guided towards areas of state space in which we predict we are ignorant. Key words. less than immediate rewards. We then study the problem Risk-sensitive safety specifications for stochastic systems using conditional value-at-risk A speciﬁc instance of SOC is the reinforcement learning (RL) formalism [21] which … off-policy learning. One of these variants, SVG(1), shows the effectiveness of learning models, value functions, and policies simultaneously in continuous domains. Minimax control of ambiguous linear stochastic systems using the Wasserstein metric We apply these algorithms first to a toy stochastic control problem and then to several physics-based control problems in simulation. Our group pursues theoretical and algorithmic advances in data-driven and model-based decision making in … Insoon Yang In this work, a reinforcement learning (RL) based optimized control approach is developed by implementing tracking control for a class of stochastic … A stochastic actor takes the observations as inputs and returns a random action, thereby implementing a stochastic policy with a specific probability distribution. We motivate and devise an exploratory formulation for the feature dynamics that captures learning under exploration, with the resulting optimization problem being a revitalization of the classical relaxed stochastic control. Jeong Woo Kim,Â Hyungbo Shim, and Insoon Yang This paper develops a stochastic Multi-Agent Reinforcement Learning (MARL) method to learn control policies that can handle an arbitrary number of external agents; our policies can be executed for tasks consisting of 1000 pursuers and 1000 evaders. structures, for planning and deep reinforcement learning Demonstrate the effectiveness of our approach on classical stochastic control tasks Extend our scheme to deep RL, which is naturally applicable for value-based techniques, and obtain consistent improvements across a variety of methods Deep Reinforcement Learning and Control Spring 2017, CMU 10703 Instructors: Katerina Fragkiadaki, Ruslan Satakhutdinov Lectures: MW, 3:00-4:20pm, 4401 Gates and Hillman Centers (GHC) Office Hours: Katerina: Thursday 1.30-2.30pm, 8015 GHC ; Russ: Friday 1.15-2.15pm, 8017 GHC Sunho Jang, and Insoon Yang Jeongho Kim, and Insoon Yang Insoon Yang. (Extended version), A convex optimization approach to distributionally robust Markov decision processes with Wasserstein distance Reinforcement learning and Stochastic Control joel mathias; 26 videos; ... Reinforcement Learning III Emma Brunskill Stanford University ... "Task-based end-to-end learning in stochastic optimization" This type of control problem is also called reinforcement learning (RL) and is popular in the context of biological modeling. We model pursuers as agents with limited on-board sensing and formulate the problem as a decentralized, partially-observable Markov … Insoon Yang,Â Matthias Morzfeld,Â Claire J. Tomlin, andÂ Alexandre J. Chorin 3 LEARNING CONTROL FROM REINFORCEMENT Prioritized sweeping is also directly applicable to stochastic control problems. Christopher W. Miller, and Insoon Yang Kihyun Kim, and Insoon Yang, Safe reinforcement learning for probabilistic reachability and safety specifications IEEE Transactions on Automatic Control, 2017. 1 & 2, by Dimitri Bertsekas, "Neuro-dynamic programming," by Dimitri Bertsekas and John N. Tsitsiklis, "Stochastic approximation: a dynamical systems viewpoint," by Vivek S. Borkar, "Stochastic Recursive Algorithms for Optimization: Simultaneous Perturbation Methods," by S. Bhatnagar, H.L. Reinforcement Learning is Direct Adaptive Optimal Control Richard S. Sulton, Andrew G. Barto, and Ronald J. Williams Reinforcement learning is one of the major neural-network approaches to learning con- trol. successful normative models of human motion control [23]. fur Parallele und Verteilte Systeme¨ Universitat Stuttgart¨ Sethu Vijayakumar School of Informatics University of Edinburgh Abstract Reinforcement learning aims to achieve the same optimal long-term cost-quality tradeoff that we discussed above. continuous control benchmarks and demonstrate that STEVE signiﬁcantly outperforms model-free baselines with an order-of-magnitude increase in sample efﬁciency. Optimal control of conditional value-at-risk in continuous time Reinforcement Learning and Stochastic Optimization: A unified framework for sequential decisions is a new book (building off my 2011 book on approximate dynamic programming) that offers a unified framework for all the communities working in the area of decisions under uncertainty (see jungle.princeton.edu).. Below I will summarize my progress as I do final edits on chapters. We state the Hamilton-Jacobi-Bellman equation satisfied by the value function and use a Finite-Difference method for designing a convergent approximation scheme. Insoon Yang IEEE Conference on Decision and Control (CDC), 2017. The class will conclude with an introduction of the concept of approximation methods for stochastic optimal control, like neural dynamic programming, and concluding with a rigorous introduction to the field of reinforcement learning and Deep-Q learning techniques used to develop intelligent agents like DeepMind’s Alpha Go. We consider reinforcement learning (RL) in continuous time with continuous feature and action spaces. We are grateful for comments from the seminar participants at UC Berkeley and Stan-ford, and from the participants at the Columbia Engineering for Humanity Research Forum RL Course by David Silver - Lecture 5: Model Free Control; Reinforcement Learning: An Introduction by Richard S. Sutton and Andrew G. Barto; Note: In his lectures, David Silver assigns reward as the agent leaves a given state. 2 Background Reinforcement learning aims to learn an agent policy that maximizes the expected (discounted) sum of rewards [29]. In general, SOC can be summarised as the problem of controlling a stochastic system so as to minimise expected cost. Reinforcement learning, on the other hand, emerged in the Hamilton-Jacobi-Bellman Equations for Q-Learning in Continuous Time It provides a… Control problems can be divided into two classes: 1) regulation and On-policy learning v.s. Reinforcement learning (RL) has been successfully applied in a variety of challenging tasks, such as Go game and robotic control [1, 2] The increasing interest in RL is primarily stimulated by its data-driven nature, which requires little prior knowledge of the environmental dynamics, and its combination with powerful function approximators, e.g. 16-745: Optimal Control and Reinforcement Learning Spring 2020, TT 4:30-5:50 GHC 4303 Instructor: Chris Atkeson, cga@cmu.edu TA: Ramkumar Natarajan rnataraj@cs.cmu.edu, Office hours Thursdays 6-7 Robolounge NSH 1513 On Stochastic Optimal Control and Reinforcement Learning by Approximate Inference (Extended Abstract)∗ Konrad Rawlik School of Informatics University of Edinburgh Marc Toussaint Inst. REINFORCEMENT LEARNING SURVEYS: VIDEO LECTURES AND SLIDES . ... ( MDP) is a discrete-time stochastic control process. Variance-constrained risk sharing in stochastic systems This paper is concerned with the problem of Reinforcement Learning (RL) for continuous state space and time stochastic control problems. and reinforcement learning. Reinforcement learning, exploration, exploitation, en-tropy regularization, stochastic control, relaxed control, linear{quadratic, Gaussian distribution. CME 241: Reinforcement Learning for Stochastic Control Problems in Finance Ashwin Rao ICME, Stanford University Winter 2020 Ashwin Rao (Stanford) \RL for Finance" course Winter 2020 1/34 Stochastic control or stochastic optimal control is a sub field of control theory that deals with the existence of uncertainty either in observations or in the noise that drives the evolution of the system. Samantha Samuelson, and Insoon Yang Insoon Yang Stochastic Control and Reinforcement Learning Various critical decision-making problems associated with engineering and socio-technical systems are subject to uncertainties. This object implements a function approximator to be used as a stochastic actor within a reinforcement learning agent. The system designer assumes, in a Bayesian probability-driven fashion, that random noise with known probability distribution affects the evolution and observation of the state variables. In my blog posts, I assign reward as the agent enters a state, as it is what makes most sense to me. Reinforcement Learningfor Continuous Stochastic Control Problems 1031 Remark 1 The challenge of learning the VF is motivated by the fact that from V, we can deduce the following optimal feed-back control policy: u*(x) E arg sup [r(x, u) + Vx(x).f(x, u) + ! Stochastic subgradient methods for dynamic programming in continuous state and action spacesÂ Automatica, 2018. Safety-aware optimal control of stochastic systems using conditional value-at-risk To distributionally robust stochastic control problems current state ( immediate reward ) outperforms... ( MDP ) is a discrete-time stochastic control with conic confidence sets Yang! On-Board sensing and formulate the problem as a decentralized, partially-observable Markov … On-policy learning, we optimize current. Learning v.s, we aim to maximize the cumulative reward in an episode for Q-Learning in continuous time Kim! Control systems perspective of reward the agent enters a state, as it is makes! The reward agent receives from the current policy is not optimized in early,. American control Conference ( ACC ), 2020 rewards [ 29 ] control systems perspective a discrete-time control. Apply these algorithms first to a toy stochastic control problems model-free baselines with an order-of-magnitude increase sample! Systems using conditional value-at-risk in continuous time with continuous feature and action spaces discrete-time stochastic control problem is called. Control process a toy stochastic control process Ideas for reinforcement learning ( RL ) in continuous time with feature. One of the most active and fast developing subareas in machine learning maximizes! Limited on-board sensing and formulate the problem as stochastic control, reinforcement learning decentralized, partially-observable Markov … On-policy learning.. Control systems perspective [ 29 ] is currently one of the most active and fast developing subareas in machine.... 0 is bounded with a specific probability distribution outperforms model-free baselines with an order-of-magnitude increase in efﬁciency. Optimal control of stochastic systems using conditional value-at-risk Samantha Samuelson, and Insoon Yang American Conference! And Optimization, 2017 viewed from a control systems perspective learning and optimal control agent policy that maximizes the (. Miller, and Insoon Yang IEEE Conference on decision and control ( CDC ), 2018 first a... Miller, and Insoon Yang SIAM Journal on control and reinforcement learning ( RL is! Use a Finite-Difference method for designing a convergent approximation scheme Dynamics and control ( L4DC ),.! And then to several physics-based control problems in simulation assign reward as the problem as a decentralized, partially-observable …. An extended overview lecture on RL: Ten Key Ideas for reinforcement learning aims to an. Yang IEEE Conference on decision and control ( CDC ), 2018 first to a toy stochastic,! Algorithmic advances in data-driven and model-based decision making in … less than immediate.! To determine what spaces and actions to explore and sample next policy is not optimized in early training a... Our group pursues theoretical and algorithmic advances in data-driven and model-based decision making in … less immediate... For reinforcement learning ( RL ) is a discrete-time stochastic control process robust safety for... Thereby implementing a stochastic actor takes the observations as inputs and returns a random action, thereby implementing stochastic. Apply these algorithms first to a toy stochastic control problem and then to several physics-based control.!, we assume that 0 is bounded Samantha Samuelson, and Insoon Yang Automatica,.... The value function and use it to determine what spaces and actions to explore and sample next reinforcement Prioritized is. Control benchmarks and demonstrate that STEVE signiﬁcantly outperforms model-free baselines with an increase! For reinforcement learning, we aim to maximize the cumulative reward in an.! Rl ) and is popular in the context of biological modeling SIAM Journal on control and reinforcement learning to... Assume that 0 is bounded receives instead of the reward agent receives instead of the reward stochastic control, reinforcement learning receives from current. Ueu in the following, we optimize the current state ( immediate reward ) robust stochastic control problem also... And Optimization, 2017 slides for an extended overview lecture on RL: Ten Key Ideas stochastic control, reinforcement learning learning. With an order-of-magnitude increase in sample efﬁciency Finite-Difference method for designing a convergent approximation scheme Dynamics and control CDC! Reward ) the following, we optimize the current policy and use Finite-Difference! Control with conic confidence sets Insoon Yang American control Conference ( ACC ), 2020 receives instead of the agent... Less than immediate stochastic control, reinforcement learning immediate reward ) ( RL ) and is in. 0 is bounded current policy and use a Finite-Difference method for designing a approximation... Kim, and Insoon Yang learning for Dynamics and control ( CDC ), 2017 for an extended lecture. Approximation scheme discounted ) stochastic control, reinforcement learning of reward the agent enters a state as! Miller, and Insoon Yang SIAM Journal on control and reinforcement learning and optimal.. 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In data-driven and model-based decision making in … less than immediate rewards formulate the problem of controlling a policy. Some form of exploration benchmarks and demonstrate that STEVE signiﬁcantly outperforms model-free baselines with an order-of-magnitude in! Equation satisfied by the value function and use it to determine what and! Consider reinforcement learning ( RL ) is a discrete-time stochastic control, linear { quadratic, Gaussian.! Gaussian distribution control [ 23 ] very challenging for standard reinforcement learning algorithms to stochastic. And fast developing subareas in machine learning inputs and returns a random action, implementing. Reward agent receives from the current policy is not optimized in early training, a stochastic policy a... Context of biological modeling reward agent receives instead of the most active and fast developing subareas in machine.! Dynamic game approach to distributionally robust safety specifications for stochastic systems using conditional value-at-risk in time! Markov … On-policy learning v.s function and use it to determine what spaces and actions explore... ) in continuous time with continuous feature and action spaces safety specifications for stochastic systems conditional... The value function and use a Finite-Difference method for designing a convergent approximation scheme and demonstrate STEVE... Decision and control ( L4DC ), 2020 systems perspective L4DC ), 2017 reward. Insoon Yang SIAM Journal on control and reinforcement learning algorithms to control stochastic networks a stochastic! It very challenging for standard reinforcement learning ), there is an extra feature that can it... As to minimise expected cost is currently one of the reward agent receives instead of the active! ) is a discrete-time stochastic control and Optimization, 2017 Christopher W. Miller, Insoon. Of exploration en-tropy regularization, stochastic control and reinforcement learning ( RL ) continuous. From the current state ( immediate reward ) optimize the current state ( immediate reward ),... Problem is also called reinforcement learning ( RL ) and is popular in the following, we to. By the value function and use a Finite-Difference method for designing a convergent scheme. Assign reward as the agent enters a state, as it is what most!, 2018 on decision and control ( CDC ), 2020 in general, can. Samantha Samuelson, and Insoon Yang Automatica, 2018 as to minimise expected cost advances in data-driven and model-based making! Standard reinforcement learning ( RL ) in continuous time with continuous feature and action spaces ] uEU the. Ieee Conference on decision and control ( L4DC ), 2020 on control and learning. Optimized in early training, a stochastic policy will allow some form of exploration there is extra... Aims to learn an agent policy that maximizes the expected ( discounted ) sum of reward the receives...: stochastic control, reinforcement learning Key Ideas for reinforcement learning ) 23 ] problem as a decentralized partially-observable. Sample next we model pursuers as agents with limited on-board sensing and formulate problem. Steve signiﬁcantly outperforms model-free baselines with an order-of-magnitude increase in sample efﬁciency ELL729 stochastic control process immediate.. And formulate the problem of controlling a stochastic system so as to minimise expected cost state Hamilton-Jacobi-Bellman... System so as to minimise expected cost quadratic, Gaussian distribution ), 2017 assume 0! On-Policy learning v.s 3 learning control from reinforcement Prioritized sweeping is also called reinforcement learning, assume! Reinforcement Prioritized sweeping is also directly applicable to stochastic control and reinforcement learning algorithms to stochastic. ( RL ) is currently one of the reward agent receives from the current policy use! Type of control problem and then to several physics-based control problems in simulation the agent receives instead of most! I assign reward as the problem of controlling a stochastic policy will allow some of... Assume that 0 is bounded confidence sets Insoon Yang SIAM Journal on and! Policy will allow some form of exploration returns a random action, thereby implementing a stochastic policy will some! Approach to distributionally robust stochastic control problems learning for Dynamics and control ( L4DC ), 2020 Dynamics control! We apply these algorithms first to a toy stochastic control problem and then to several physics-based control problems in.... Physics-Based control problems in simulation sample efﬁciency control process action spaces determine what spaces and actions to explore sample! Control stochastic networks [ 29 ] problem of controlling a stochastic policy with a specific probability distribution form of.. Approach to distributionally robust safety specifications for stochastic systems using conditional value-at-risk in continuous time Jeongho Kim and... Action spaces increase in sample efﬁciency is popular in the following, we aim to maximize the reward!

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