Recent advances in reinforcement learning in finance

B Hambly, R Xu, H Yang - Mathematical Finance, 2023 - Wiley Online Library
The rapid changes in the finance industry due to the increasing amount of data have
revolutionized the techniques on data processing and data analysis and brought new …

A review of off-policy evaluation in reinforcement learning

M Uehara, C Shi, N Kallus - arXiv preprint arXiv:2212.06355, 2022 - arxiv.org
Reinforcement learning (RL) is one of the most vibrant research frontiers in machine
learning and has been recently applied to solve a number of challenging problems. In this …

Is pessimism provably efficient for offline rl?

Y Jin, Z Yang, Z Wang - International Conference on …, 2021 - proceedings.mlr.press
We study offline reinforcement learning (RL), which aims to learn an optimal policy based on
a dataset collected a priori. Due to the lack of further interactions with the environment …

Combo: Conservative offline model-based policy optimization

T Yu, A Kumar, R Rafailov… - Advances in neural …, 2021 - proceedings.neurips.cc
Abstract Model-based reinforcement learning (RL) algorithms, which learn a dynamics
model from logged experience and perform conservative planning under the learned model …

Bellman-consistent pessimism for offline reinforcement learning

T Xie, CA Cheng, N Jiang, P Mineiro… - Advances in neural …, 2021 - proceedings.neurips.cc
The use of pessimism, when reasoning about datasets lacking exhaustive exploration has
recently gained prominence in offline reinforcement learning. Despite the robustness it adds …

Conservative q-learning for offline reinforcement learning

A Kumar, A Zhou, G Tucker… - Advances in Neural …, 2020 - proceedings.neurips.cc
Effectively leveraging large, previously collected datasets in reinforcement learn-ing (RL) is
a key challenge for large-scale real-world applications. Offline RL algorithms promise to …

Bridging offline reinforcement learning and imitation learning: A tale of pessimism

P Rashidinejad, B Zhu, C Ma, J Jiao… - Advances in Neural …, 2021 - proceedings.neurips.cc
Offline (or batch) reinforcement learning (RL) algorithms seek to learn an optimal policy from
a fixed dataset without active data collection. Based on the composition of the offline dataset …

Adversarially trained actor critic for offline reinforcement learning

CA Cheng, T Xie, N Jiang… - … Conference on Machine …, 2022 - proceedings.mlr.press
Abstract We propose Adversarially Trained Actor Critic (ATAC), a new model-free algorithm
for offline reinforcement learning (RL) under insufficient data coverage, based on the …

Morel: Model-based offline reinforcement learning

R Kidambi, A Rajeswaran… - Advances in neural …, 2020 - proceedings.neurips.cc
In offline reinforcement learning (RL), the goal is to learn a highly rewarding policy based
solely on a dataset of historical interactions with the environment. This serves as an extreme …

Offline reinforcement learning with realizability and single-policy concentrability

W Zhan, B Huang, A Huang… - … on Learning Theory, 2022 - proceedings.mlr.press
Sample-efficiency guarantees for offline reinforcement learning (RL) often rely on strong
assumptions on both the function classes (eg, Bellman-completeness) and the data …