Cover Image

Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Denkert, Robert, Pham, Huyên, Warin, Xavier
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control Machine Learning 93E20 (Primary), 68T07 (Secondary)
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Model-free policy gradient for discrete-time mean-field control
by: Meunier, Matthieu, et al.
Published: (2026)

On approximations of stochastic optimal control problems with an application to climate equations
by: Flandoli, Franco, et al.
Published: (2024)

Piecewise Linear Approximation and PID Control Optimization for Nonlinear Systems
by: Vrabel, Robert
Published: (2025)

Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)

Deep Relaxation of Controlled Stochastic Gradient Descent via Singular Perturbations
by: Bardi, Martino, et al.
Published: (2022)

Weakly-Coupled Multi-Action Restless Bandits -- Exponential Convergence in Probability
by: Fu, Jing, et al.
Published: (2026)

Near Optimality of Lipschitz and Smooth Policies in Controlled Diffusions
by: Pradhan, Somnath, et al.
Published: (2024)

Representation results and error estimates for differential games with applications using neural networks
by: Bokanowski, Olivier, et al.
Published: (2024)

Reinforcement Learning for Dividend Optimization in Partially Observed Regime-Switching Diffusion Model
by: Gao, Zhongqin, et al.
Published: (2026)

Neural solver for Wasserstein Geodesics and optimal transport dynamics
by: Liu, Hailiang, et al.
Published: (2026)

Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
by: Giegrich, Michael, et al.
Published: (2022)

Ergodic Risk Sensitive Control of Diffusions under a General Structural Hypothesis
by: Anugu, Sumith Reddy, et al.
Published: (2025)

The effect of latency on optimal order execution policy
by: Ma, Chutian, et al.
Published: (2025)

Which exceptional low-dimensional projections of a Gaussian point cloud can be found in polynomial time?
by: Montanari, Andrea, et al.
Published: (2024)

Ergodic optimal liquidations in DeFi
by: Cao, Jialun, et al.
Published: (2024)

Neural Actor-Critic Methods for Hamilton-Jacobi-Bellman PDEs: Asymptotic Analysis and Numerical Studies
by: Cohen, Samuel N., et al.
Published: (2025)

Physics-informed approach for exploratory Hamilton--Jacobi--Bellman equations via policy iterations
by: Kim, Yeongjong, et al.
Published: (2025)

Optimal control for production inventory system with various cost criterion
by: Golui, Subrata, et al.
Published: (2022)

Particle Approximation for Conditional Control with Soft Killing
by: Carmona, Rene, et al.
Published: (2025)

Trading with propagators and constraints: applications to optimal execution and battery storage
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Maximizing On-Bill Savings through Battery Management Optimization
by: Carmona, Rene, et al.
Published: (2024)

Coincident Peak Prediction for Capacity and Transmission Charge Reduction
by: Carmona, Rene, et al.
Published: (2024)

Duality and DeepMartingale for High-Dimensional Optimal Switching: Computable Upper Bounds and Approximation-Expressivity Guarantees
by: Ye, Junyan, et al.
Published: (2026)

Open-loop and closed-loop solvabilities for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
by: Wu, Fan, et al.
Published: (2024)

Input Convex Kolmogorov Arnold Networks
by: Deschatre, Thomas, et al.
Published: (2025)

Separable Approximations of Optimal Value Functions and Their Representation by Neural Networks
by: Sperl, Mario, et al.
Published: (2025)

Drift Control with Discretionary Stopping for a Diffusion
by: Beneš, Václav E., et al.
Published: (2024)

Optimal Assignment and Motion Control in Two-Class Continuum Swarms
by: Emerick, Max, et al.
Published: (2024)

Discounted MPC and infinite-horizon optimal control under plant-model mismatch: Stability and suboptimality
by: Moldenhauer, Robert H., et al.
Published: (2026)

Well-Posed KL-Regularized Control via Wasserstein and Kalman-Wasserstein KL Divergences
by: Stein, Viktor, et al.
Published: (2026)

Robust pointwise second order necessary conditions for singular stochastic optimal control with model uncertainty
by: Jing, Guangdong
Published: (2024)

Event-Triggered Resilient Consensus of Networked Euler-Lagrange Systems Under Byzantine Attacks
by: Fu, Yuliang, et al.
Published: (2025)

The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
by: Moriarty, John, et al.
Published: (2024)

On the Value of Linear Quadratic Zero-sum Difference Games with Multiplicative Randomness: Existence and Achievability
by: Cai, Songfu, et al.
Published: (2023)

The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs
by: Andersson, Kristoffer, et al.
Published: (2025)

Properties for transposition solutions to operator-valued BSEEs, and applications to robust second order necessary conditions for controlled SEEs
by: Jing, Guangdong
Published: (2024)

Stability and Sensitivity Analysis of Relative Temporal-Difference Learning: Extended Version
by: Sakha, Masoud S., et al.
Published: (2026)

Optimistic Training and Convergence of Q-Learning -- Extended Version
by: Mehta, Prashant, et al.
Published: (2026)

Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
by: Cao, Jialun, et al.
Published: (2024)

Entropy annealing for policy mirror descent in continuous time and space
by: Sethi, Deven, et al.
Published: (2024)