arXiv Machine Learning By Erhan Bayraktar, Martin Hernandez, Qinxin Yan, Yuhua Zhu

Mean-Field PhiBE: Continuous-Time Mean-Field Reinforcement Learning from Discrete-Time Data

Read the original on arXiv Machine Learning →

arXiv:2606. 26498v1 Announce Type: cross Abstract: This paper addresses model-free continuous-time mean-field control in a setting where the population dynamics evolve continuously according to an unknown McKean-Vlasov stochastic differential equation, while only discrete-time transition data are available.

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Mean-Field PhiBE: Continuous-Time Mean-Field Reinforcement Learning from Discrete-Time Data

This paper addresses model-free continuous-time mean-field control in a setting where the population dynamics evolve continuously according to an unknown McKean-Vlasov stochastic differential equation, while only discrete-time transition data are available. In the model-based formulation, policy evaluation is naturally described by a stationary Hamilton-Jacobi-Bellman equation on $\mathcal P_2(\mathbb R^d)$, but this equation involves the drift and diffusion coefficients of the controlled McKean-Vlasov dynamics, which are not identifiable when only discrete-time data are available.

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