Reinforcement Learning for a Discrete-Time Linear-Quadratic Control Problem with an Application
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arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866917912035459072 |
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| author | Li, Lucky |
| author_facet | Li, Lucky |
| contents | We study the discrete-time linear-quadratic (LQ) control model using reinforcement learning (RL). Using entropy to measure the cost of exploration, we prove that the optimal feedback policy for the problem must be Gaussian type. Then, we apply the results of the discrete-time LQ model to solve the discrete-time mean-variance asset-liability management problem and prove our RL algorithm's policy improvement and convergence. Finally, a numerical example sheds light on the theoretical results established using simulations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_05906 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Reinforcement Learning for a Discrete-Time Linear-Quadratic Control Problem with an Application Li, Lucky Machine Learning Optimization and Control We study the discrete-time linear-quadratic (LQ) control model using reinforcement learning (RL). Using entropy to measure the cost of exploration, we prove that the optimal feedback policy for the problem must be Gaussian type. Then, we apply the results of the discrete-time LQ model to solve the discrete-time mean-variance asset-liability management problem and prove our RL algorithm's policy improvement and convergence. Finally, a numerical example sheds light on the theoretical results established using simulations. |
| title | Reinforcement Learning for a Discrete-Time Linear-Quadratic Control Problem with an Application |
| topic | Machine Learning Optimization and Control |
| url | https://arxiv.org/abs/2412.05906 |