5 citations · 13 across the 6 of their papers we have counts for
8 papers
A Model-Free Continuous-Time RL Algorithm from Discrete-Time Off-Policy Data with End-to-End Guarantees
Chaorui Yao, Yuming Paul Zhang, Lin Yang +1
In this paper, we study continuous-time reinforcement learning, where the state follows an unknown stochastic differential equation but only a fixed off-policy batch of discrete-ti…
Discretization error from regularized Reinforcement Learning to continuous-time stochastic control
Huyên Pham, Yuming Paul Zhang, Yuhua Zhu
This paper establishes a rigorous connection between regularized discrete-time reinforcement learning (RL) and continuous-time stochastic optimal control. Specifically, classical R…
The convergence rate of vanishing viscosity approximations for mean field games
Wenpin Tang, Yuming Paul Zhang
Motivated by numerical challenges in first-order mean field games (MFGs) and the weak noise theory for the Kardar-Parisi-Zhang equation, we consider the problem of vanishing viscos…
Policy iteration for the deterministic control problems -- a viscosity approach
Wenpin Tang, Hung Vinh Tran, Yuming Paul Zhang
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due…
Systemic robustness: a mean-field particle system approach
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from consid…
Exploratory HJB equations and their convergence
Wenpin Tang, Paul Yuming Zhang, Xun Yu Zhou
We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and…
McKean-Vlasov equations involving hitting times: blow-ups and global solvability
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the analysis of blow-ups for two McKean-Vlasov equations involving hitting times. Let be standard Brownian motion, and $τ:= \inf\{…
Parallel Search for Information
T. Tony Ke, Wenpin Tang, J. Miguel Villas-Boas +1
We consider the problem of a decision-maker searching for information on multiple alternatives when information is learned on all alternatives simultaneously. The decision-maker ha…