arXivDaily arXiv每日学术速递 周一至周五更新
arXiv周末暂无论文更新,休息一下吧,周末愉快~~
arXiv 2001.03148math.OCcs.LG
收藏

反馈松弛控制的正则性和稳定性

Regularity and stability of feedback relaxed controls

University of Oxford(牛津大学)

Christoph Reisinger, Yufei Zhang

摘要:

针对多维连续时间随机出口时间问题,提出了一种具有一般探索报酬的松弛控制正则化方法,设计了鲁棒反馈控制。我们建立了正则化控制问题允许Hölder连续反馈控制,并证明了正则化控制问题的值函数和反馈控制对于参数摄动都是Lipschitz稳定的.此外,我们证明了预先计算的反馈松弛控制在扰动系统中具有鲁棒性能,并推导出一阶灵敏度方程的值函数和最优反馈松弛控制。这些稳定性结果为最近的强化学习算法提供了理论依据,即在优化目标中包括探索奖励会导致更鲁棒的决策。最后证明了探索参数为零的松弛控制问题的值函数的一阶单调收敛性,从而使我们能够构造基于反馈松弛控制的原控制问题的纯开发策略.

英文摘要:

This paper proposes a relaxed control regularization with general exploration rewards to design robust feedback controls for multi-dimensional continuous-time stochastic exit time problems. We establish that the regularized control problem admits a Hölder continuous feedback control, and demonstrate that both the value function and the feedback control of the regularized control problem are Lipschitz stable with respect to parameter perturbations. Moreover, we show that a pre-computed feedback relaxed control has a robust performance in a perturbed system, and derive a first-order sensitivity equation for both the value function and optimal feedback relaxed control. These stability results provide a theoretical justification for recent reinforcement learning heuristics that including an exploration reward in the optimization objective leads to more robust decision making. We finally prove first-order monotone convergence of the value functions for relaxed control problems with vanishing exploration parameters, which subsequently enables us to construct the pure exploitation strategy of the original control problem based on the feedback relaxed controls.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑