arXiv Machine Learning
Sep 15

Learning to Solve Stochastic Controls with Unknown Drifts and Running Rewards: Theory, Algorithms and Convergence

The paper investigates continuous‑time stochastic control problems with unknown drift and running reward functions, using an exploratory reinforcement learning framework that incorporates relaxed controls and entropy regularization. It develops policy‑iteration algorithms based on probabilistic representations of the optimal value function and its gradient, proving convergence and demonstrating performance through numerical examples. The study also extends to a special case with control‑dependent diffusion, requiring a Hessian representation.

By Jin Ma, Gaozhan Wang, Jianfeng Zhang, Xunyu Zhou