Events
DMS Applied and Computational Mathematics Seminar |
| Time: Sep 15, 2023 (02:00 PM) |
| Location: 328 Parker Hall |
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Details:
Speaker: Yuming Paul Zhang, Auburn University Title: Exploratory HJB Equations and Their Convergence
Abstract: We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou, and Zhou (J. Mach. Learn. Res., 21, 2020) in the context of reinforcement learning in continuous time and space. We establish the well-posedness and regularity of viscosity solutions to the equation, and derive an explicit rate of convergence as exploration diminishes to zero. If time permits, I would also discuss the analysis of the policy iteration algorithm used to study the control problem. These are joint works with Xunyu Zhou, Hung Tran, and Wenpin Tang.
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