3 papers
cs.LG2020
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions
Sinong Geng, Houssam Nassif, Carlos A. Manzanares +2
We propose a reward function estimation framework for inverse reinforcement learning with deep energy-based policies. We name our method PQR, as it sequentially estimates the Polic…
math.OC2019
Viscosity solutions for controlled McKean--Vlasov jump-diffusions
Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen +1
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic not…
math.OC2018
Discrete dividend payments in continuous time
Jussi Keppo, Max Reppen, H. Mete Soner
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment…