Inthispaper,weconsider an SA involving a contraction mapping with respect to an arbitrary norm, and show its finite-sample error bounds while using different stepsizes.

Inversionoflinearsystems As mentioned in Corollary(1), for the Lasso, when computing the gradient off, one can either invert an nlinear system or anm mlinear system.

In this project, our goal is to determine how to leverage the world-knowledge of pretrained large language models for efficient and robust learning in multiagent decision making. We examine this in a taxi routing and assignment problem where agents must decide how to best pick up passengers in order to minimize overall waiting time. While this problem is situated on a graphical road network, we show that with the proper prompting zero-shot performance is quite strong on this task. Furthermore, with limited fine-tuning along with the one-at-a-time rollout algorithm for look ahead, LLMs can out-compete existing approaches with 50 times fewer environmental interactions. We also explore the benefits of various linguistic prompting approaches and show that including certain easy-to-compute information in the prompt significantly improves performance. Finally, we highlight the LLM's built-in semantic understanding, showing its ability to adapt to environmental factors through simple prompts.

Deep learning has proven to be effective in a wide variety of loss minimization problems. However, many applications of interest, like minimizing projected Bellman error and min-max optimization, cannot be modelled as minimizing a scalar loss function but instead correspond to solving a variational inequality (VI) problem. This difference in setting has caused many practical challenges as naive gradient-based approaches from supervised learning tend to diverge and cycle in the VI case. In this work, we propose a principled surrogate-based approach compatible with deep learning to solve VIs. We show that our surrogate-based approach has three main benefits: (1) under assumptions that are realistic in practice (when hidden monotone structure is present, interpolation, and sufficient optimization of the surrogates), it guarantees convergence, (2) it provides a unifying perspective of existing methods, and (3) is amenable to existing deep learning optimizers like ADAM. Experimentally, we demonstrate our surrogate-based approach is effective in min-max optimization and minimizing projected Bellman error. Furthermore, in the deep reinforcement learning case, we propose a novel variant of TD(0) which is more compute and sample efficient.

In this paper we describe a new conceptual framework that connects approximate Dynamic Programming (DP), Model Predictive Control (MPC), and Reinforcement Learning (RL). This framework centers around two algorithms, which are designed largely independently of each other and operate in synergy through the powerful mechanism of Newton's method. We call them the off-line training and the on-line play algorithms. The names are borrowed from some of the major successes of RL involving games; primary examples are the recent (2017) AlphaZero program (which plays chess, [SHS17], [SSS17]), and the similarly structured and earlier (1990s) TD-Gammon program (which plays backgammon, [Tes94], [Tes95], [TeG96]). In these game contexts, the off-line training algorithm is the method used to teach the program how to evaluate positions and to generate good moves at any given position, while the on-line play algorithm is the method used to play in real time against human or computer opponents. Significantly, the synergy between off-line training and on-line play also underlies MPC (as well as other major classes of sequential decision problems), and indeed the MPC design architecture is very similar to the one of AlphaZero and TD-Gammon. This conceptual insight provides a vehicle for bridging the cultural gap between RL and MPC, and sheds new light on some fundamental issues in MPC. These include the enhancement of stability properties through rollout, the treatment of uncertainty through the use of certainty equivalence, the resilience of MPC in adaptive control settings that involve changing system parameters, and the insights provided by the superlinear performance bounds implied by Newton's method.

Efficiently solving path planning problems for a large number of robots is critical to the successful operation of modern warehouses. The existing approaches adopt classical shortest path algorithms to plan in environments whose cells are associated with both space and time in order to avoid collision between robots. In this work, we achieve the same goal by means of simulation in a smaller static environment. Built upon the new framework introduced in (Bertsekas, 2021a), we propose multiagent rollout with reshuffling algorithm, and apply it to address the warehouse robots path planning problem. The proposed scheme has a solid theoretical guarantee and exhibits consistent performance in our numerical studies. Moreover, it inherits from the generic rollout methods the ability to adapt to a changing environment by online replanning, which we demonstrate through examples where some robots malfunction.

We provide a unifying approximate dynamic programming framework that applies to a broad variety of problems involving sequential estimation. We consider first the construction of surrogate cost functions for the purposes of optimization, and we focus on the special case of Bayesian optimization, using the rollout algorithm and some of its variations. We then discuss the more general case of sequential estimation of a random vector using optimal measurement selection, and its application to problems of stochastic and adaptive control. We distinguish between adaptive control of deterministic and stochastic systems: the former are better suited for the use of rollout, while the latter are well suited for the use of rollout with certainty equivalence approximations. As an example of the deterministic case, we discuss sequential decoding problems, and a rollout algorithm for the approximate solution of the Wordle and Mastermind puzzles, recently developed in the paper [BBB22].

We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are related to competitive bidding by persons for objects and the attendant market equilibrium, which underlie auction processes. However, the starting point of our algorithms is different, namely weighted and unweighted path construction in directed graphs, rather than assignment of persons to objects. The new algorithms have several potential advantages over existing methods: they are empirically faster in some important contexts, such as max-flow, they are well-suited for on-line replanning, and they can be adapted to distributed asynchronous operation. Moreover, they allow arbitrary initial prices, without complementary slackness restrictions, and thus are better-suited to take advantage of reinforcement learning methods that use off-line training with data, as well as on-line training during real-time operation. The new algorithms may also find use in reinforcement learning contexts involving approximation, such as multistep lookahead and tree search schemes, and/or rollout algorithms.

Bisimulation metrics define a distance measure between states of a Markov decision process (MDP) based on a comparison of reward sequences. Due to this property they provide theoretical guarantees in value function approximation. In this work we first prove that bisimulation metrics can be defined via any $p$-Wasserstein metric for $p\geq 1$. Then we describe an approximate policy iteration (API) procedure that uses $\epsilon$-aggregation with $\pi$-bisimulation and prove performance bounds for continuous state spaces. We bound the difference between $\pi$-bisimulation metrics in terms of the change in the policies themselves. Based on these theoretical results, we design an API($\alpha$) procedure that employs conservative policy updates and enjoys better performance bounds than the naive API approach. In addition, we propose a novel trust region approach which circumvents the requirement to explicitly solve a constrained optimization problem. Finally, we provide experimental evidence of improved stability compared to non-conservative alternatives in simulated continuous control.

Clinical decision support tools rooted in machine learning and optimization can provide significant value to healthcare providers, including through better management of intensive care units. In particular, it is important that the patient discharge task addresses the nuanced trade-off between decreasing a patient's length of stay (and associated hospitalization costs) and the risk of readmission or even death following the discharge decision. This work introduces an end-to-end general framework for capturing this trade-off to recommend optimal discharge timing decisions given a patient's electronic health records. A data-driven approach is used to derive a parsimonious, discrete state space representation that captures a patient's physiological condition. Based on this model and a given cost function, an infinite-horizon discounted Markov decision process is formulated and solved numerically to compute an optimal discharge policy, whose value is assessed using off-policy evaluation strategies. Extensive numerical experiments are performed to validate the proposed framework using real-life intensive care unit patient data.