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X-WR-CALDESC:Events for CREST
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TZOFFSETFROM:+0200
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DTSTART:20260329T010000
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DTSTART:20261025T010000
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DTSTART;TZID=Europe/Helsinki:20260309T133000
DTEND;TZID=Europe/Helsinki:20260316T173000
DTSTAMP:20260709T204616
CREATED:20260212T083208Z
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SUMMARY:Xunyu Zhou (Columbia University) - Introduction to Continuous-Time Reinforcement Learning
DESCRIPTION:INTRODUCTION TO CONTINUOUS-TIME REINFORCEMENT LEARNING\nXUNYU ZHOU\nColumbia University\nIndustrial Engineering & Operations Research Department \nSchedule: \nMarch 9\, 2026 | 1:30PM – 5:30PM – Room 2006\nMarch 12\, 2026 | 1:30PM – 5:30PM – Room 2006\nMarch 16\, 2026 | 1:30PM – 5:30PM – Room 2006 \nContent:\nThis crash course covers fundamental theory and algorithms for reinforcement learning with continuous-time controlled diffusion processes\, which have been developed in the last five years. It includes the following topics.\n1. Exploration vs exploitation: relaxed control\, entropy regularization\, exploratory HJB equation and Gibbs measure.\n2. Gaussian exploration under linear-quadratic control: optimality of Gaussian exploration and cost of exploration.\n3. Temperature control of Langevin diffusions: simulated annealing for nonconvex optimization and optimal temperature control.\n4. Policy evaluation: martingale characterization\, martingale loss function and martingale orthogonality conditions.\n5. Policy gradient: policy gradient via policy evaluation\, and temporal difference learning. q-learning theory: generalized Hamiltonian and policy improvement\, Q-function and q-function\, martingale characterization of q-function. \nEvaluation: \nTake home project. \n
URL:https://crest.science/event/xunyu-zhou-columbia-university-introduction-to-continuous-time-reinforcement-learning/
CATEGORIES:Doctoral Courses,Finance
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