Policy Gradient for Continuous-Time Robust Markov Decision Processes

arXiv:2606.04335v1 Announce Type: new Abstract: The framework of robust Markov decision processes (RMDPs) allows the design of reinforcement learning agents that satisfy performance guarantees under worst-case transition dynamics. Traditional RMDPs consider discrete-time dynamics and recently, sample-efficient policy gradient algorithms have been considered in this context. This paper investigates policy gradient algorithms within a continuous-time RMDP framework. Policy gradients and adversarial gradients are derived using pathwise and adjoint-based formulas for stochastic and ordinary differ

Source: arXiv cs.LG — read the full report at the original publisher.

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