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12/15/2022
Variable Clustering via Distributionally Robust Nodewise Regression
We study a multi-factor block model for variable clustering and connect ...
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10/03/2022
Square-root regret bounds for continuous-time episodic Markov decision processes
We study reinforcement learning for continuous-time Markov decision proc...
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08/17/2022
Choquet regularization for reinforcement learning
We propose Choquet regularizers to measure and manage the level of explo...
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07/02/2022
q-Learning in Continuous Time
We study the continuous-time counterpart of Q-learning for reinforcement...
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05/23/2022
Logarithmic regret bounds for continuous-time average-reward Markov decision processes
We consider reinforcement learning for continuous-time Markov decision p...
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11/22/2021
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms
We study policy gradient (PG) for reinforcement learning in continuous t...
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08/15/2021
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach
We propose a unified framework to study policy evaluation (PE) and the a...
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02/03/2021
Simulated annealing from continuum to discretization: a convergence analysis via the Eyring–Kramers law
We study the convergence rate of continuous-time simulated annealing (X_...
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07/26/2019
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning
We propose to solve large scale Markowitz mean-variance (MV) portfolio a...
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04/25/2019
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
We approach the continuous-time mean-variance (MV) portfolio selection w...
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04/25/2019
Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning
We consider continuous-time Mean-variance (MV) portfolio optimization pr...
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02/13/2018