Reinforcement learning (RL) algorithms combined with modern function approximators such as kernel functions and deep neural networks have achieved significant empirical successes in large-scale application problems with a massive number of states. From a theoretical perspective, however, RL with functional approximation poses a fundamental challenge to developing algorithms with provable computational and statistical efficiency, due to the need to take into consideration both the exploration-exploitation tradeoff that is inherent in RL and the bias-variance tradeoff that is innate in statistical estimation. To address such a challenge, focusing on the episodic setting where the action-value functions are represented by a kernel function or over-parametrized neural network, we propose the first provable RL algorithm with both polynomial runtime and sample complexity, without additional assumptions on the data-generating model. In particular, for both the kernel and neural settings, we prove that an optimistic modification of the least-squares value iteration algorithm incurs an $\tilde{\mathcal{O}}(\delta_{\mathcal{F}} H^2 \sqrt{T})$ regret, where $\delta_{\mathcal{F}}$ characterizes the intrinsic complexity of the function class $\mathcal{F}$, $H$ is the length of each episode, and $T$ is the total number of episodes. Our regret bounds are independent of the number of states and therefore even allows it to diverge, which exhibits the benefit of function approximation.

Deep reinforcement learning (DRL) has reached super human levels in complex tasks like game solving (Go and autonomous driving). However, it remains an open question whether DRL can reach human level in applications to financial problems and in particular in detecting pattern crisis and consequently dis-investing. In this paper, we present an innovative DRL framework consisting in two sub-networks fed respectively with portfolio strategies past performances and standard deviations as well as additional contextual features. The second sub network plays an important role as it captures dependencies with common financial indicators features like risk aversion, economic surprise index and correlations between assets that allows taking into account context based information. We compare different network architectures either using layers of convolutions to reduce network's complexity or LSTM block to capture time dependency and whether previous allocations is important in the modeling. We also use adversarial training to make the final model more robust. Results on test set show this approach substantially over-performs traditional portfolio optimization methods like Markowitz and is able to detect and anticipate crisis like the current Covid one.

Inspired by the developments in deep generative models, we propose a model-based RL approach, coined Reinforced Deep Markov Model (RDMM), designed to integrate desirable properties of a reinforcement learning algorithm acting as an automatic trading system. The network architecture allows for the possibility that market dynamics are partially visible and are potentially modified by the agent's actions. The RDMM filters incomplete and noisy data, to create better-behaved input data for RL planning. The policy search optimisation also properly accounts for state uncertainty. Due to the complexity of the RKDF model architecture, we performed ablation studies to understand the contributions of individual components of the approach better. To test the financial performance of the RDMM we implement policies using variants of Q-Learning, DynaQ-ARIMA and DynaQ-LSTM algorithms. The experiments show that the RDMM is data-efficient and provides financial gains compared to the benchmarks in the optimal execution problem. The performance improvement becomes more pronounced when price dynamics are more complex, and this has been demonstrated using real data sets from the limit order book of Facebook, Intel, Vodafone and Microsoft.

Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions? The standard approach based on Markowitz or other more or less sophisticated financial rules aims to find the best portfolio allocation thanks to forecasted expected returns and risk but fails to fully relate market conditions to hedging strategies decision. In contrast, Deep Reinforcement Learning (DRL) can tackle this challenge by creating a dynamic dependency between market information and hedging strategies allocation decisions. In this paper, we present a realistic and augmented DRL framework that: (i) uses additional contextual information to decide an action, (ii) has a one period lag between observations and actions to account for one day lag turnover of common asset managers to rebalance their hedge, (iii) is fully tested in terms of stability and robustness thanks to a repetitive train test method called anchored walk forward training, similar in spirit to k fold cross validation for time series and (iv) allows managing leverage of our hedging strategy. Our experiment for an augmented asset manager interested in sizing and timing his hedges shows that our approach achieves superior returns and lower risk.

Model-free reinforcement learning (MFRL) has achieved great success in game playing [1, 2], robot navigation [3, 4] and etc. However, extending existing RL methods to real-world environments remains challenging, because they require long-horizon reasoning with the low-dimensional useful features, e.g., the position of a robot, embedded in high-dimensional complex observations, e.g., visually rich images. Consider a four-legged mini-cheetah robot [5] navigating on the campus. To determine the traversable path, the robot must extract the relevant geometric features that coexist with irrelevant variable backgrounds, such as the moving pedestrians, paintings on the wall, etc. Model-based RL (MBRL), in contrast to the model-free methods, reasons a world model trained by generative learning and greatly improves the sample efficiency of the model-free methods [6, 7, 8]. Recent MBRL methods learn compact latent world models from high-dimensional visual inputs with Variational Autoencoders (VAEs) [9] by optimizing the evidence lower bound (ELBO) of an observation sequence [10, 11]. However, learning a generative model under complex observations is challenging.

Dynamic dispatching aims to smartly allocate the right resources to the right place at the right time. Dynamic dispatching is one of the core problems for operations optimization in the mining industry. Theoretically, deep reinforcement learning (RL) should be a natural fit to solve this problem. However, the industry relies on heuristics or even human intuitions, which are often short-sighted and sub-optimal solutions. In this paper, we review the main challenges in using deep RL to address the dynamic dispatching problem in the mining industry.

Safe and efficient navigation through human crowds is an essential capability for mobile robots. Previous work on robot crowd navigation assumes that the dynamics of all agents are known and well-defined. In addition, the performance of previous methods deteriorates in partially observable environments and environments with dense crowds. To tackle these problems, we propose decentralized structural-Recurrent Neural Network (DS-RNN), a novel network that reasons about spatial and temporal relationships for robot decision making in crowd navigation. We train our network with model-free deep reinforcement learning without any expert supervision. We demonstrate that our model outperforms previous methods and successfully transfer the policy learned in the simulator to a real-world TurtleBot 2i.

Planning safe trajectories under uncertain and dynamic conditions makes the autonomous driving problem significantly complex. Current sampling-based methods such as Rapidly Exploring Random Trees (RRTs) are not ideal for this problem because of the high computational cost. Supervised learning methods such as Imitation Learning lack generalization and safety guarantees. To address these problems and in order to ensure a robust framework, we propose a Hierarchical Reinforcement Learning (HRL) structure combined with a Proportional-Integral-Derivative (PID) controller for trajectory planning. HRL helps divide the task of autonomous vehicle driving into sub-goals and supports the network to learn policies for both high-level options and low-level trajectory planner choices. The introduction of sub-goals decreases convergence time and enables the policies learned to be reused for other scenarios. In addition, the proposed planner is made robust by guaranteeing smooth trajectories and by handling the noisy perception system of the ego-car. The PID controller is used for tracking the waypoints, which ensures smooth trajectories and reduces jerk. The problem of incomplete observations is handled by using a Long-Short-Term-Memory (LSTM) layer in the network. Results from the high-fidelity CARLA simulator indicate that the proposed method reduces convergence time, generates smoother trajectories, and is able to handle dynamic surroundings and noisy observations.

Self-driving vehicles must be able to act intelligently in diverse and difficult environments, marked by high-dimensional state spaces, a myriad of optimization objectives and complex behaviors. Traditionally, classical optimization and search techniques have been applied to the problem of self-driving; but they do not fully address operations in environments with high-dimensional states and complex behaviors. Recently, imitation learning has been proposed for the task of self-driving; but it is labor-intensive to obtain enough training data. Reinforcement learning has been proposed as a way to directly control the car, but this has safety and comfort concerns. We propose using model-free reinforcement learning for the trajectory planning stage of self-driving and show that this approach allows us to operate the car in a more safe, general and comfortable manner, required for the task of self driving.

For autonomous vehicles, effective behavior planning is crucial to ensure safety of the ego car. In many urban scenarios, it is hard to create sufficiently general heuristic rules, especially for challenging scenarios that some new human drivers find difficult. In this work, we propose a behavior planning structure based on reinforcement learning (RL) which is capable of performing autonomous vehicle behavior planning with a hierarchical structure in simulated urban environments. Application of the hierarchical structure allows the various layers of the behavior planning system to be satisfied. Our algorithms can perform better than heuristic-rule-based methods for elective decisions such as when to turn left between vehicles approaching from the opposite direction or possible lane-change when approaching an intersection due to lane blockage or delay in front of the ego car. Such behavior is hard to evaluate as correct or incorrect, but for some aggressive expert human drivers handle such scenarios effectively and quickly. On the other hand, compared to traditional RL methods, our algorithm is more sample-efficient, due to the use of a hybrid reward mechanism and heuristic exploration during the training process. The results also show that the proposed method converges to an optimal policy faster than traditional RL methods.