Continuous-time q-learning for mean-field control problems
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866916463668887552 |
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| author | Wei, Xiaoli Yu, Xiang |
| author_facet | Wei, Xiaoli Yu, Xiang |
| contents | This paper studies the q-learning, recently coined as the continuous time counterpart of Q-learning by Jia and Zhou (2023), for continuous time Mckean-Vlasov control problems in the setting of entropy-regularized reinforcement learning. In contrast to the single agent's control problem in Jia and Zhou (2023), the mean-field interaction of agents renders the definition of the q-function more subtle, for which we reveal that two distinct q-functions naturally arise: (i) the integrated q-function (denoted by $q$) as the first-order approximation of the integrated Q-function introduced in Gu, Guo, Wei and Xu (2023), which can be learnt by a weak martingale condition involving test policies; and (ii) the essential q-function (denoted by $q_e$) that is employed in the policy improvement iterations. We show that two q-functions are related via an integral representation under all test policies. Based on the weak martingale condition and our proposed searching method of test policies, some model-free learning algorithms are devised. In two examples, one in LQ control framework and one beyond LQ control framework, we can obtain the exact parameterization of the optimal value function and q-functions and illustrate our algorithms with simulation experiments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_16208 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Continuous-time q-learning for mean-field control problems Wei, Xiaoli Yu, Xiang Machine Learning Optimization and Control Computational Finance This paper studies the q-learning, recently coined as the continuous time counterpart of Q-learning by Jia and Zhou (2023), for continuous time Mckean-Vlasov control problems in the setting of entropy-regularized reinforcement learning. In contrast to the single agent's control problem in Jia and Zhou (2023), the mean-field interaction of agents renders the definition of the q-function more subtle, for which we reveal that two distinct q-functions naturally arise: (i) the integrated q-function (denoted by $q$) as the first-order approximation of the integrated Q-function introduced in Gu, Guo, Wei and Xu (2023), which can be learnt by a weak martingale condition involving test policies; and (ii) the essential q-function (denoted by $q_e$) that is employed in the policy improvement iterations. We show that two q-functions are related via an integral representation under all test policies. Based on the weak martingale condition and our proposed searching method of test policies, some model-free learning algorithms are devised. In two examples, one in LQ control framework and one beyond LQ control framework, we can obtain the exact parameterization of the optimal value function and q-functions and illustrate our algorithms with simulation experiments. |
| title | Continuous-time q-learning for mean-field control problems |
| topic | Machine Learning Optimization and Control Computational Finance |
| url | https://arxiv.org/abs/2306.16208 |