Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
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Abstract (arXiv)
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control problems and randomised problems, enabling applications across various classes of Markovian continuous time control problems, beyond diffusion models, including e.g. regular, impulse and optimal stopping/switching problems. By utilizing change of measure in the control randomisation technique, we derive a new policy gradient representation for these randomised problems, featuring parametrised intensity policies. We further develop actor-critic algorithms specifically designed to address general Markovian stochastic control issues. Our framework is demonstrated through its application to optimal switching problems, with two numerical case studies in the energy sector focusing on real options.
Key facts. Cited by 7 papers in the map (data through 7 Oct 2026). Builds on 6 of its 25 references that are in the map. First posted on arXiv 27 Apr 2024.
Builds on
6 of 25 references.
References · 6
- 2021Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithmscited by 76
- 2022q-Learning in Continuous Timecited by 68
- 2021Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approachcited by 62
- 2022Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithmcited by 12
- 2023Actor critic learning algorithms for mean-field control with moment neural networkscited by 6
- 2021Reservoir optimization and Machine Learning methodscited by 4
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Citing papers per year: 2024: 3; 2025: 2; 2026: 2.
7 papers.
- 2024Exploratory Optimal Stopping: A Singular Control Formulationcited by 5
- 2025Continuous-time reinforcement learning for optimal switching over multiple regimescited by 4
- 2024Reinforcement Learning for Jump-Diffusions, with Financial Applicationscited by 2
- 2024Robust Reinforcement Learning under Diffusion Models for Data with Jumpscited by 2
- 2025Continuous Policy and Value Iteration for Relaxed Stochastic Control Problems and Its Convergencecited by 1
- 2026An Actor-Critic Framework for Continuous-Time Jump-Diffusion Controls with Normalizing Flowscited by 0
- 2026When Should a Human Take Back Control? Optimal Delegation under Turbulent AI Riskcited by 0
- 2026When Should a Human Take Back Control? Optimal Delegation under Turbulent AI Risk25 Sep 2026
- 2026An Actor-Critic Framework for Continuous-Time Jump-Diffusion Controls with Normalizing Flows7 Apr 2026
- 2025Continuous-time reinforcement learning for optimal switching over multiple regimes4 Dec 2025
- 2025Continuous Policy and Value Iteration for Relaxed Stochastic Control Problems and Its Convergence9 Jun 2025
- 2024Robust Reinforcement Learning under Diffusion Models for Data with Jumps18 Nov 2024
- 2024Exploratory Optimal Stopping: A Singular Control Formulation18 Aug 2024
- 2024Reinforcement Learning for Jump-Diffusions, with Financial Applications26 May 2024
Similar, not cited
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- 2025Diffusion-Augmented Markov Decision Processes for Maximum Entropy Reinforcement Learning
- 2026Diffusion Controller: Framework, Algorithms and Parameterization
- 2026Towards Optimal Policy Improvement
- 2020Hierarchical Decomposition of Nonlinear Dynamics and Control for System Identification and Policy Distillation
- 2024Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy