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math.OC2025
Optimality of Linear Policies in Distributionally Robust Linear Quadratic Control
Bahar TaÅkesen, Dan A. Iancu, ÃaÄıl KoçyiÄit +1
We study a generalization of the classical discrete-time, Linear-Quadratic-Gaussian (LQG) control problem where the noise distributions affecting the states and observations are un…
math.OC2025
Towards Optimal Offline Reinforcement Learning
Mengmeng Li, Daniel Kuhn, Tobias Sutter
We study offline reinforcement learning problems with a long-run average reward objective. The state-action pairs generated by any fixed behavioral policy thus follow a Markov chai…
math.OC2024
A Large Deviations Perspective on Policy Gradient Algorithms
Wouter Jongeneel, Daniel Kuhn, Mengmeng Li
Motivated by policy gradient methods in the context of reinforcement learning, we identify a large deviation rate function for the iterates generated by stochastic gradient descent…