4 papers · 1 filter
ART for Diffusion Sampling: A Reinforcement Learning Approach to Timestep Schedule
Yilie Huang, Wenpin Tang, Xunyu Zhou
We consider time discretization for score-based diffusion models to generate samples from a learned reverse-time dynamic on a finite grid. Uniform and hand-crafted grids can be sub…
Data-Driven Exploration for a Class of Continuous-Time Indefinite Linear--Quadratic Reinforcement Learning Problems
Yilie Huang, Xun Yu Zhou
We study reinforcement learning (RL) for the same class of continuous-time stochastic linear--quadratic (LQ) control problems as in \cite{huang2024sublinear}, where volatilities de…
Regret of exploratory policy improvement and -learning
Wenpin Tang, Xun Yu Zhou
We study the convergence of -learning and related algorithms introduced by Jia and Zhou (J. Mach. Learn. Res., 24 (2023), 161) for controlled diffusion processes. For explorator…
Reinforcement Learning for Jump-Diffusions, with Financial Applications
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
We study continuous-time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump-diffusion processes. We formulate an entropy-regularized e…