4 papers · 1 filter
Model-Free Q-Learning for Infinite-Horizon Stochastic Linear Quadratic Problems with Regime Switching
Xinyue Zhang, Na Li, Xun Li +1
This paper addresses infinite-horizon continuous-time stochastic linear quadratic optimal control problems with regime switching. We propose a paradigm shift from model-based desig…
Inverse Optimal Control for Linear Quadratic Problem with Poisson Jumps: Model-Free Inverse Reinforcement Learning Approaches
Wen Du, Na Li, Xun Li +1
This paper addresses the inverse optimal control (IOC) problem for stochastic linear systems subject to both Brownian motion and Poisson jumps, using an inverse reinforcement learn…
Policy Iteration Reinforcement Learning Method for Continuous-Time Linear-Quadratic Mean-Field Control Problems
Na Li, Xun Li, Zuo Quan Xu
This paper employs a policy iteration reinforcement learning (RL) method to study continuous-time linear-quadratic mean-field control problems in infinite horizon. The drift and di…
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi +1
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in…