mlsanityData to 14 Oct 2026

Reinforcement Learning Framework For Stochastic Optimal Control Problem Under Model Uncertainty

arXiv 2511.06881 ↗First posted 10 Nov 2025math.OCcited by 0

On the map: Deep reinforcement learning methods → RL theory and sample complexity

Abstract (arXiv)

We develop a continuous-time entropy-regularized reinforcement learning framework under model uncertainty. By applying Sion's minimax theorem, we transform the intractable robust control problem into an equivalent standard entropy-regularized stochastic control problem, facilitating reinforcement learning algorithms. We establish sufficient conditions for the theorem's validity and demonstrate our approach on linear-quadratic problems with uncertain model parameters following Bernoulli and uniform distributions.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Placed in RL theory and sample complexity, one of 15 directions in Deep reinforcement learning methods. Builds on 3 of its 11 references that are in the map. First posted on arXiv 10 Nov 2025.

Builds on

3 of 11 references.

References · 3

  1. 2022q-Learning in Continuous Timecited by 91
  2. 2021Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approachcited by 84
  3. 2019Maximum principle for stochastic recursive optimal control problem under model uncertaintycited by 1

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  1. 2026Provably Safe Reinforcement Learning for Stochastic Reach-Avoid Problems with Entropy Regularization
  2. 2026Entropy Regularization Improves Policy Robustness in Continuous-Time Reinforcement Learning
  3. 2025Global Convergence of Policy Gradient for Entropy Regularized Linear-Quadratic Control with Multiplicative Noise
  4. 2026Reinforcement Learning in Real Option Models
  5. 2025Research on Optimal Control Problem Based on Reinforcement Learning under Knightian Uncertainty
  6. 2026Discretization error from regularized Reinforcement Learning to continuous-time stochastic control
  7. 2021Robust Entropy-regularized Markov Decision Processes
  8. 2024Backward Stochastic Control System with Entropy Regularization ↗