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no code implementations • ICML 2020 • Qianli Shen, Yan Li, Haoming Jiang, Zhaoran Wang, Tuo Zhao

In contrast to policy parameterized by linear/reproducing kernel functions, where simple regularization techniques suffice to control smoothness, for neural network based reinforcement learning algorithms, there is no readily available solution to learn a smooth policy.

no code implementations • ICML 2020 • Lingxiao Wang, Zhuoran Yang, Zhaoran Wang

We highlight that MF-FQI algorithm enjoys a ``blessing of many agents'' property in the sense that a larger number of observed agents improves the performance of MF-FQI algorithm.

Multi-agent Reinforcement Learning
reinforcement-learning
**+1**

no code implementations • ICML 2020 • Yufeng Zhang, Qi Cai, Zhuoran Yang, Zhaoran Wang

Generative adversarial imitation learning (GAIL) demonstrates tremendous success in practice, especially when combined with neural networks.

no code implementations • ICML 2020 • Ying Jin, Zhaoran Wang, Junwei Lu

We study the computational and statistical tradeoffs in inferring combinatorial structures of high dimensional simple zero-field ferromagnetic Ising model.

no code implementations • 22 Nov 2023 • Jianqing Fan, Zhaoran Wang, Zhuoran Yang, Chenlu Ye

For these settings, we design a provably sample-efficient algorithm which achieves a $ \mathcal{\tilde O}(s_0^2 \log^2 T)$ regret in the sparse case and $ \mathcal{\tilde O} ( r ^2 \log^2 T)$ regret in the low-rank case, using only $L = \mathcal{O}( \log T)$ batches.

no code implementations • 18 Nov 2023 • Saizhuo Wang, Zhihan Liu, Zhaoran Wang, Jian Guo

Large Language Models (LLMs) are versatile, yet they often falter in tasks requiring deep and reliable reasoning due to issues like hallucinations, limiting their applicability in critical scenarios.

no code implementations • 26 Oct 2023 • Fengzhuo Zhang, Vincent Y. F. Tan, Zhaoran Wang, Zhuoran Yang

Second, using kernel embedding of distributions, we design efficient algorithms to estimate the transition kernels, reward functions, and graphons from sampled agents.

no code implementations • 10 Oct 2023 • Nuoya Xiong, Zhihan Liu, Zhaoran Wang, Zhuoran Yang

We study multi-agent reinforcement learning (MARL) for the general-sum Markov Games (MGs) under the general function approximation.

no code implementations • 10 Oct 2023 • Chau Pham, Boyi Liu, Yingxiang Yang, Zhengyu Chen, Tianyi Liu, Jianbo Yuan, Bryan A. Plummer, Zhaoran Wang, Hongxia Yang

Although natural language is an obvious choice for communication due to LLM's language understanding capability, the token sampling step needed when generating natural language poses a potential risk of information loss, as it uses only one token to represent the model's belief across the entire vocabulary.

1 code implementation • 29 Sep 2023 • Zhihan Liu, Hao Hu, Shenao Zhang, Hongyi Guo, Shuqi Ke, Boyi Liu, Zhaoran Wang

Specifically, we design a prompt template for reasoning that learns from the memory buffer and plans a future trajectory over a long horizon ("reason for future").

no code implementations • 8 Jul 2023 • Pangpang Liu, Zhuoran Yang, Zhaoran Wang, Will Wei Sun

We first prove that existing non-strategic pricing policies that neglect the buyers' strategic behavior result in a linear $\Omega(T)$ regret with $T$ the total time horizon, indicating that these policies are not better than a random pricing policy.

no code implementations • 26 Jun 2023 • Nuoya Xiong, Zhaoran Wang, Zhuoran Yang

We take the first step in studying general sequential decision-making under two adaptivity constraints: rare policy switch and batch learning.

no code implementations • 31 May 2023 • Dongsheng Ding, Xiaohan Wei, Zhuoran Yang, Zhaoran Wang, Mihailo R. Jovanović

We examine online safe multi-agent reinforcement learning using constrained Markov games in which agents compete by maximizing their expected total rewards under a constraint on expected total utilities.

Multi-agent Reinforcement Learning
reinforcement-learning
**+1**

no code implementations • 30 May 2023 • Yufeng Zhang, Fengzhuo Zhang, Zhuoran Yang, Zhaoran Wang

(b) What is a proper performance metric for ICL and what is the error rate?

1 code implementation • NeurIPS 2023 • Zhihan Liu, Miao Lu, Wei Xiong, Han Zhong, Hao Hu, Shenao Zhang, Sirui Zheng, Zhuoran Yang, Zhaoran Wang

To achieve this, existing sample-efficient online RL algorithms typically consist of three components: estimation, planning, and exploration.

1 code implementation • 8 May 2023 • Yulai Zhao, Zhuoran Yang, Zhaoran Wang, Jason D. Lee

Motivated by the observation, we present a multi-agent PPO algorithm in which the local policy of each agent is updated similarly to vanilla PPO.

1 code implementation • 25 Apr 2023 • Xiao-Yang Liu, Ziyi Xia, Hongyang Yang, Jiechao Gao, Daochen Zha, Ming Zhu, Christina Dan Wang, Zhaoran Wang, Jian Guo

The financial market is a particularly challenging playground for deep reinforcement learning due to its unique feature of dynamic datasets.

no code implementations • 5 Apr 2023 • Jiayang Li, Zhaoran Wang, Yu Marco Nie

We achieve this result by developing a day-to-day (DTD) dynamical model that mimics how travelers gradually adjust their route valuations, hence choice probabilities, based on past experiences.

2 code implementations • 28 Mar 2023 • Haoran Xu, Li Jiang, Jianxiong Li, Zhuoran Yang, Zhaoran Wang, Victor Wai Kin Chan, Xianyuan Zhan

This gives a deeper understanding of why the in-sample learning paradigm works, i. e., it applies implicit value regularization to the policy.

no code implementations • 20 Mar 2023 • Siyu Chen, Yitan Wang, Zhaoran Wang, Zhuoran Yang

We study the offline contextual bandit problem, where we aim to acquire an optimal policy using observational data.

no code implementations • 24 Feb 2023 • Ruitu Xu, Yifei Min, Tianhao Wang, Zhaoran Wang, Michael I. Jordan, Zhuoran Yang

We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market.

no code implementations • 20 Feb 2023 • Jing Wang, Meichen Song, Feng Gao, Boyi Liu, Zhaoran Wang, Yi Wu

We initiate the study of how to perturb the reward in a zero-sum Markov game with two players to induce a desirable Nash equilibrium, namely arbitrating.

Multi-agent Reinforcement Learning
reinforcement-learning
**+1**

no code implementations • 30 Dec 2022 • Yufeng Zhang, Boyi Liu, Qi Cai, Lingxiao Wang, Zhaoran Wang

In particular, such a representation instantiates the posterior distribution of the latent variable given input tokens, which plays a central role in predicting output labels and solving downstream tasks.

no code implementations • 29 Dec 2022 • Riashat Islam, Samarth Sinha, Homanga Bharadhwaj, Samin Yeasar Arnob, Zhuoran Yang, Animesh Garg, Zhaoran Wang, Lihong Li, Doina Precup

Learning policies from fixed offline datasets is a key challenge to scale up reinforcement learning (RL) algorithms towards practical applications.

no code implementations • 23 Dec 2022 • Zuyue Fu, Zhengling Qi, Zhuoran Yang, Zhaoran Wang, Lan Wang

To tackle the distributional mismatch, we leverage the idea of pessimism and use our OPE method to develop an off-policy learning algorithm for finding a desirable policy pair for both Alice and Bob.

no code implementations • 19 Dec 2022 • Ying Jin, Zhimei Ren, Zhuoran Yang, Zhaoran Wang

Existing policy learning methods rely on a uniform overlap assumption, i. e., the propensities of exploring all actions for all individual characteristics are lower bounded in the offline dataset.

no code implementations • 17 Dec 2022 • Tongzheng Ren, Chenjun Xiao, Tianjun Zhang, Na Li, Zhaoran Wang, Sujay Sanghavi, Dale Schuurmans, Bo Dai

Theoretically, we establish the sample complexity of the proposed approach in the online and offline settings.

Model-based Reinforcement Learning
reinforcement-learning
**+1**

4 code implementations • 6 Nov 2022 • Xiao-Yang Liu, Ziyi Xia, Jingyang Rui, Jiechao Gao, Hongyang Yang, Ming Zhu, Christina Dan Wang, Zhaoran Wang, Jian Guo

However, establishing high-quality market environments and benchmarks for financial reinforcement learning is challenging due to three major factors, namely, low signal-to-noise ratio of financial data, survivorship bias of historical data, and model overfitting in the backtesting stage.

no code implementations • 3 Nov 2022 • Han Zhong, Wei Xiong, Sirui Zheng, LiWei Wang, Zhaoran Wang, Zhuoran Yang, Tong Zhang

The proposed algorithm modifies the standard posterior sampling algorithm in two aspects: (i) we use an optimistic prior distribution that biases towards hypotheses with higher values and (ii) a loglikelihood function is set to be the empirical loss evaluated on the historical data, where the choice of loss function supports both model-free and model-based learning.

no code implementations • 19 Oct 2022 • Rui Ai, Boxiang Lyu, Zhaoran Wang, Zhuoran Yang, Michael I. Jordan

First, from the seller's perspective, we need to efficiently explore the environment in the presence of potentially nontruthful bidders who aim to manipulates seller's policy.

no code implementations • 29 Sep 2022 • YiXuan Wang, Simon Sinong Zhan, Ruochen Jiao, Zhilu Wang, Wanxin Jin, Zhuoran Yang, Zhaoran Wang, Chao Huang, Qi Zhu

It is quite challenging to ensure the safety of reinforcement learning (RL) agents in an unknown and stochastic environment under hard constraints that require the system state not to reach certain specified unsafe regions.

no code implementations • 20 Sep 2022 • Fengzhuo Zhang, Boyi Liu, Kaixin Wang, Vincent Y. F. Tan, Zhuoran Yang, Zhaoran Wang

The cooperative Multi-A gent R einforcement Learning (MARL) with permutation invariant agents framework has achieved tremendous empirical successes in real-world applications.

no code implementations • 18 Sep 2022 • Zuyue Fu, Zhengling Qi, Zhaoran Wang, Zhuoran Yang, Yanxun Xu, Michael R. Kosorok

Due to the lack of online interaction with the environment, offline RL is facing the following two significant challenges: (i) the agent may be confounded by the unobserved state variables; (ii) the offline data collected a prior does not provide sufficient coverage for the environment.

1 code implementation • 15 Sep 2022 • Jiayang Li, Jing Yu, Qianni Wang, Boyi Liu, Zhaoran Wang, Yu Marco Nie

A Stackelberg congestion game (SCG) is a bilevel program in which a leader aims to maximize their own gain by anticipating and manipulating the equilibrium state at which followers settle by playing a congestion game.

1 code implementation • 29 Jul 2022 • Shuang Qiu, Lingxiao Wang, Chenjia Bai, Zhuoran Yang, Zhaoran Wang

Moreover, under the online setting, we propose novel upper confidence bound (UCB)-type algorithms that incorporate such a contrastive loss with online RL algorithms for MDPs or MGs.

no code implementations • 25 Jul 2022 • Shuang Qiu, Xiaohan Wei, Jieping Ye, Zhaoran Wang, Zhuoran Yang

Our algorithms feature a combination of Upper Confidence Bound (UCB)-type optimism and fictitious play under the scope of simultaneous policy optimization in a non-stationary environment.

no code implementations • 11 Jun 2022 • Doudou Zhou, Yufeng Zhang, Aaron Sonabend-W, Zhaoran Wang, Junwei Lu, Tianxi Cai

We design the first federated policy optimization algorithm for offline RL with sample complexity.

1 code implementation • 6 Jun 2022 • Rui Yang, Chenjia Bai, Xiaoteng Ma, Zhaoran Wang, Chongjie Zhang, Lei Han

Offline reinforcement learning (RL) provides a promising direction to exploit massive amount of offline data for complex decision-making tasks.

no code implementations • 26 May 2022 • Miao Lu, Yifei Min, Zhaoran Wang, Zhuoran Yang

We study offline reinforcement learning (RL) in partially observable Markov decision processes.

no code implementations • 26 May 2022 • Lingxiao Wang, Qi Cai, Zhuoran Yang, Zhaoran Wang

For a class of POMDPs with a low-rank structure in the transition kernel, ETC attains an $O(1/\epsilon^2)$ sample complexity that scales polynomially with the horizon and the intrinsic dimension (that is, the rank).

no code implementations • 23 May 2022 • Xiaoyu Chen, Han Zhong, Zhuoran Yang, Zhaoran Wang, LiWei Wang

To the best of our knowledge, this is the first theoretical result for PbRL with (general) function approximation.

no code implementations • 5 May 2022 • Boxiang Lyu, Zhaoran Wang, Mladen Kolar, Zhuoran Yang

In the setting where the function approximation is employed to handle large state spaces, with only mild assumptions on the expressiveness of the function class, we are able to design a dynamic mechanism using offline reinforcement learning algorithms.

no code implementations • 20 Apr 2022 • Qi Cai, Zhuoran Yang, Zhaoran Wang

The sample efficiency of OP-TENET is enabled by a sequence of ingredients: (i) a Bellman operator with finite memory, which represents the value function in a recursive manner, (ii) the identification and estimation of such an operator via an adversarial integral equation, which features a smoothed discriminator tailored to the linear structure, and (iii) the exploration of the observation and state spaces via optimism, which is based on quantifying the uncertainty in the adversarial integral equation.

no code implementations • 7 Mar 2022 • Yifei Min, Tianhao Wang, Ruitu Xu, Zhaoran Wang, Michael I. Jordan, Zhuoran Yang

We study a Markov matching market involving a planner and a set of strategic agents on the two sides of the market.

no code implementations • 25 Feb 2022 • Boxiang Lyu, Qinglin Meng, Shuang Qiu, Zhaoran Wang, Zhuoran Yang, Michael I. Jordan

Dynamic mechanism design studies how mechanism designers should allocate resources among agents in a time-varying environment.

1 code implementation • ICLR 2022 • Chenjia Bai, Lingxiao Wang, Zhuoran Yang, Zhihong Deng, Animesh Garg, Peng Liu, Zhaoran Wang

We show that such OOD sampling and pessimistic bootstrapping yields provable uncertainty quantifier in linear MDPs, thus providing the theoretical underpinning for PBRL.

no code implementations • 22 Feb 2022 • Jibang Wu, Zixuan Zhang, Zhe Feng, Zhaoran Wang, Zhuoran Yang, Michael I. Jordan, Haifeng Xu

This paper proposes a novel model of sequential information design, namely the Markov persuasion processes (MPPs), where a sender, with informational advantage, seeks to persuade a stream of myopic receivers to take actions that maximizes the sender's cumulative utilities in a finite horizon Markovian environment with varying prior and utility functions.

no code implementations • 15 Feb 2022 • Han Zhong, Wei Xiong, Jiyuan Tan, LiWei Wang, Tong Zhang, Zhaoran Wang, Zhuoran Yang

When the dataset does not have uniform coverage over all policy pairs, finding an approximate NE involves challenges in three aspects: (i) distributional shift between the behavior policy and the optimal policy, (ii) function approximation to handle large state space, and (iii) minimax optimization for equilibrium solving.

no code implementations • 28 Jan 2022 • YiXuan Wang, Simon Zhan, Zhilu Wang, Chao Huang, Zhaoran Wang, Zhuoran Yang, Qi Zhu

In model-based reinforcement learning for safety-critical control systems, it is important to formally certify system properties (e. g., safety, stability) under the learned controller.

1 code implementation • 28 Dec 2021 • Gene Li, Junbo Li, Anmol Kabra, Nathan Srebro, Zhaoran Wang, Zhuoran Yang

We propose an optimistic model-based algorithm, dubbed SMRL, for finite-horizon episodic reinforcement learning (RL) when the transition model is specified by exponential family distributions with $d$ parameters and the reward is bounded and known.

no code implementations • NeurIPS 2021 • Yufeng Zhang, Siyu Chen, Zhuoran Yang, Michael I. Jordan, Zhaoran Wang

Specifically, we consider a version of AC where the actor and critic are represented by overparameterized two-layer neural networks and are updated with two-timescale learning rates.

no code implementations • 27 Dec 2021 • Han Zhong, Zhuoran Yang, Zhaoran Wang, Michael I. Jordan

We develop sample-efficient reinforcement learning (RL) algorithms for solving for an SNE in both online and offline settings.

1 code implementation • 13 Dec 2021 • Xiao-Yang Liu, Jingyang Rui, Jiechao Gao, Liuqing Yang, Hongyang Yang, Zhaoran Wang, Christina Dan Wang, Jian Guo

In this paper, we present a FinRL-Meta framework that builds a universe of market environments for data-driven financial reinforcement learning.

1 code implementation • 11 Dec 2021 • Xiao-Yang Liu, Zechu Li, Zhuoran Yang, Jiahao Zheng, Zhaoran Wang, Anwar Walid, Jian Guo, Michael I. Jordan

In this paper, we present a scalable and elastic library ElegantRL-podracer for cloud-native deep reinforcement learning, which efficiently supports millions of GPU cores to carry out massively parallel training at multiple levels.

1 code implementation • NeurIPS 2021 • Minshuo Chen, Yan Li, Ethan Wang, Zhuoran Yang, Zhaoran Wang, Tuo Zhao

Theoretically, under a weak coverage assumption that the experience dataset contains enough information about the optimal policy, we prove that for an episodic mean-field MDP with a horizon $H$ and $N$ training trajectories, SAFARI attains a sub-optimality gap of $\mathcal{O}(H^2d_{\rm eff} /\sqrt{N})$, where $d_{\rm eff}$ is the effective dimension of the function class for parameterizing the value function, but independent on the number of agents.

no code implementations • NeurIPS 2021 • Boyi Liu, Qi Cai, Zhuoran Yang, Zhaoran Wang

Despite the tremendous success of reinforcement learning (RL) with function approximation, efficient exploration remains a significant challenge, both practically and theoretically.

no code implementations • NeurIPS 2021 • Runzhe Wu, Yufeng Zhang, Zhuoran Yang, Zhaoran Wang

In constrained multi-objective RL, the goal is to learn a policy that achieves the best performance specified by a multi-objective preference function under a constraint.

Multi-Objective Reinforcement Learning reinforcement-learning

no code implementations • 7 Nov 2021 • Zechu Li, Xiao-Yang Liu, Jiahao Zheng, Zhaoran Wang, Anwar Walid, Jian Guo

Unfortunately, the steep learning curve and the difficulty in quick modeling and agile development are impeding finance researchers from using deep reinforcement learning in quantitative trading.

no code implementations • NeurIPS 2021 • Yingjie Fei, Zhuoran Yang, Yudong Chen, Zhaoran Wang

The exponential Bellman equation inspires us to develop a novel analysis of Bellman backup procedures in risk-sensitive RL algorithms, and further motivates the design of a novel exploration mechanism.

1 code implementation • 24 Oct 2021 • Zhihong Deng, Zuyue Fu, Lingxiao Wang, Zhuoran Yang, Chenjia Bai, Tianyi Zhou, Zhaoran Wang, Jing Jiang

Offline reinforcement learning (RL) harnesses the power of massive datasets for resolving sequential decision problems.

1 code implementation • NeurIPS 2021 • Chenjia Bai, Lingxiao Wang, Lei Han, Animesh Garg, Jianye Hao, Peng Liu, Zhaoran Wang

Exploration methods based on pseudo-count of transitions or curiosity of dynamics have achieved promising results in solving reinforcement learning with sparse rewards.

no code implementations • 19 Oct 2021 • Shuang Qiu, Jieping Ye, Zhaoran Wang, Zhuoran Yang

Then, given any extrinsic reward, the agent computes the policy via a planning algorithm with offline data collected in the exploration phase.

no code implementations • 18 Oct 2021 • Han Zhong, Zhuoran Yang, Zhaoran Wang, Csaba Szepesvári

We study episodic reinforcement learning (RL) in non-stationary linear kernel Markov decision processes (MDPs).

no code implementations • 4 Oct 2021 • Boyi Liu, Jiayang Li, Zhuoran Yang, Hoi-To Wai, Mingyi Hong, Yu Marco Nie, Zhaoran Wang

To regulate a social system comprised of self-interested agents, economic incentives are often required to induce a desirable outcome.

no code implementations • 29 Sep 2021 • Han Zhong, Zhuoran Yang, Zhaoran Wang, Michael Jordan

To our best knowledge, we establish the first provably efficient RL algorithms for solving SNE in general-sum Markov games with leader-controlled state transitions.

no code implementations • 29 Sep 2021 • Yan Li, Lingxiao Wang, Jiachen Yang, Ethan Wang, Zhaoran Wang, Tuo Zhao, Hongyuan Zha

To exploit the permutation invariance therein, we propose the mean-field proximal policy optimization (MF-PPO) algorithm, at the core of which is a permutation- invariant actor-critic neural architecture.

no code implementations • 19 Aug 2021 • Zhihan Liu, Yufeng Zhang, Zuyue Fu, Zhuoran Yang, Zhaoran Wang

In generative adversarial imitation learning (GAIL), the agent aims to learn a policy from an expert demonstration so that its performance cannot be discriminated from the expert policy on a certain predefined reward set.

no code implementations • 8 Aug 2021 • Pratik Ramprasad, Yuantong Li, Zhuoran Yang, Zhaoran Wang, Will Wei Sun, Guang Cheng

The recent emergence of reinforcement learning has created a demand for robust statistical inference methods for the parameter estimates computed using these algorithms.

no code implementations • ICLR 2022 • Baihe Huang, Jason D. Lee, Zhaoran Wang, Zhuoran Yang

In the {coordinated} setting where both players are controlled by the agent, we propose a model-based algorithm and a model-free algorithm.

no code implementations • 6 Jul 2021 • Tengyu Xu, Zhuoran Yang, Zhaoran Wang, Yingbin Liang

We further show that unlike GTD, the learned GVFs by GenTD are guaranteed to converge to the ground truth GVFs as long as the function approximation power is sufficiently large.

no code implementations • 1 Jul 2021 • Zehao Dou, Zhuoran Yang, Zhaoran Wang, Simon S. Du

As one of the most popular methods in the field of reinforcement learning, Q-learning has received increasing attention.

1 code implementation • 15 Jun 2021 • Haque Ishfaq, Qiwen Cui, Viet Nguyen, Alex Ayoub, Zhuoran Yang, Zhaoran Wang, Doina Precup, Lin F. Yang

We propose a model-free reinforcement learning algorithm inspired by the popular randomized least squares value iteration (RLSVI) algorithm as well as the optimism principle.

no code implementations • 6 Jun 2021 • YiXuan Wang, Chao Huang, Zhaoran Wang, Zhilu Wang, Qi Zhu

Specifically, we leverage the verification results (computed reachable set of the system state) to construct feedback metrics for control learning, which measure how likely the current design of control parameters can meet the required reach-avoid property for safety and goal-reaching.

no code implementations • 18 May 2021 • Yan Li, Lingxiao Wang, Jiachen Yang, Ethan Wang, Zhaoran Wang, Tuo Zhao, Hongyuan Zha

To exploit the permutation invariance therein, we propose the mean-field proximal policy optimization (MF-PPO) algorithm, at the core of which is a permutation-invariant actor-critic neural architecture.

1 code implementation • 13 May 2021 • Chenjia Bai, Lingxiao Wang, Lei Han, Jianye Hao, Animesh Garg, Peng Liu, Zhaoran Wang

In this paper, we propose a principled exploration method for DRL through Optimistic Bootstrapping and Backward Induction (OB2I).

no code implementations • 23 Feb 2021 • Tengyu Xu, Zhuoran Yang, Zhaoran Wang, Yingbin Liang

We also show that the overall convergence of DR-Off-PAC is doubly robust to the approximation errors that depend only on the expressive power of approximation functions.

no code implementations • 19 Feb 2021 • Luofeng Liao, Zuyue Fu, Zhuoran Yang, Yixin Wang, Mladen Kolar, Zhaoran Wang

Instrumental variables (IVs), in the context of RL, are the variables whose influence on the state variables are all mediated through the action.

no code implementations • NeurIPS 2021 • Prashant Khanduri, Siliang Zeng, Mingyi Hong, Hoi-To Wai, Zhaoran Wang, Zhuoran Yang

We focus on bilevel problems where the lower level subproblem is strongly-convex and the upper level objective function is smooth.

no code implementations • 26 Jan 2021 • Yi Chen, Jing Dong, Zhaoran Wang

In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints.

Optimization and Control

no code implementations • 1 Jan 2021 • Qi Cai, Zhuoran Yang, Csaba Szepesvari, Zhaoran Wang

Although policy optimization with neural networks has a track record of achieving state-of-the-art results in reinforcement learning on various domains, the theoretical understanding of the computational and sample efficiency of policy optimization remains restricted to linear function approximations with finite-dimensional feature representations, which hinders the design of principled, effective, and efficient algorithms.

no code implementations • 1 Jan 2021 • Boyi Liu, Zhuoran Yang, Zhaoran Wang

Specifically, in each iteration, each player infers the policy of the opponent implicitly via policy evaluation and improves its current policy by taking the smoothed best-response via a proximal policy optimization (PPO) step.

no code implementations • 1 Jan 2021 • Riashat Islam, Samarth Sinha, Homanga Bharadhwaj, Samin Yeasar Arnob, Zhuoran Yang, Zhaoran Wang, Animesh Garg, Lihong Li, Doina Precup

Learning policies from fixed offline datasets is a key challenge to scale up reinforcement learning (RL) algorithms towards practical applications.

no code implementations • 1 Jan 2021 • Yingjie Fei, Zhuoran Yang, Zhaoran Wang

We study risk-sensitive reinforcement learning with the entropic risk measure and function approximation.

no code implementations • 1 Jan 2021 • Chenjia Bai, Lingxiao Wang, Peng Liu, Zhaoran Wang, Jianye Hao, Yingnan Zhao

However, such an approach is challenging in developing practical exploration algorithms for Deep Reinforcement Learning (DRL).

no code implementations • 30 Dec 2020 • Ying Jin, Zhuoran Yang, Zhaoran Wang

We study offline reinforcement learning (RL), which aims to learn an optimal policy based on a dataset collected a priori.

no code implementations • 30 Dec 2020 • You-Lin Chen, Zhaoran Wang, Mladen Kolar

Training a classifier under non-convex constraints has gotten increasing attention in the machine learning community thanks to its wide range of applications such as algorithmic fairness and class-imbalanced classification.

no code implementations • 28 Dec 2020 • Han Zhong, Xun Deng, Ethan X. Fang, Zhuoran Yang, Zhaoran Wang, Runze Li

In particular, we focus on a variance-constrained policy optimization problem where the goal is to find a policy that maximizes the expected value of the long-run average reward, subject to a constraint that the long-run variance of the average reward is upper bounded by a threshold.

no code implementations • 21 Dec 2020 • Zhuoran Yang, Yufeng Zhang, Yongxin Chen, Zhaoran Wang

Specifically, we prove that moving along the geodesic in the direction of functional gradient with respect to the second-order Wasserstein distance is equivalent to applying a pushforward mapping to a probability distribution, which can be approximated accurately by pushing a set of particles.

no code implementations • NeurIPS 2020 • Luofeng Liao, You-Lin Chen, Zhuoran Yang, Bo Dai, Mladen Kolar, Zhaoran Wang

We study estimation in a class of generalized SEMs where the object of interest is defined as the solution to a linear operator equation.

no code implementations • NeurIPS 2020 • Hoi-To Wai, Zhuoran Yang, Zhaoran Wang, Mingyi Hong

This paper studies a gradient temporal difference (GTD) algorithm using neural network (NN) function approximators to minimize the mean squared Bellman error (MSBE).

no code implementations • NeurIPS 2020 • Zhuoran Yang, Chi Jin, Zhaoran Wang, Mengdi Wang, Michael Jordan

Reinforcement learning (RL) algorithms combined with modern function approximators such as kernel functions and deep neural networks have achieved significant empirical successes in large-scale application problems with a massive number of states.

no code implementations • NeurIPS 2020 • Yufeng Zhang, Qi Cai, Zhuoran Yang, Yongxin Chen, Zhaoran Wang

Temporal-diﬀerence and Q-learning play a key role in deep reinforcement learning, where they are empowered by expressive nonlinear function approximators such as neural networks.

no code implementations • 9 Nov 2020 • Zhuoran Yang, Chi Jin, Zhaoran Wang, Mengdi Wang, Michael I. Jordan

The classical theory of reinforcement learning (RL) has focused on tabular and linear representations of value functions.

no code implementations • NeurIPS 2020 • Jiayang Li, Jing Yu, Yu, Nie, Zhaoran Wang

In this paper, we provide a unified framework for learning and intervention in games.

no code implementations • 17 Oct 2020 • Chenjia Bai, Peng Liu, Kaiyu Liu, Lingxiao Wang, Yingnan Zhao, Lei Han, Zhaoran Wang

Efficient exploration remains a challenging problem in reinforcement learning, especially for tasks where extrinsic rewards from environments are sparse or even totally disregarded.

no code implementations • 8 Oct 2020 • Qiaomin Xie, Zhuoran Yang, Zhaoran Wang, Andreea Minca

We propose a reinforcement learning algorithm for stationary mean-field games, where the goal is to learn a pair of mean-field state and stationary policy that constitutes the Nash equilibrium.

no code implementations • 4 Sep 2020 • Yining Wang, Yi Chen, Ethan X. Fang, Zhaoran Wang, Runze Li

We consider the stochastic contextual bandit problem under the high dimensional linear model.

no code implementations • 23 Aug 2020 • Shuang Qiu, Zhuoran Yang, Xiaohan Wei, Jieping Ye, Zhaoran Wang

Existing approaches for this problem are based on two-timescale or double-loop stochastic gradient algorithms, which may also require sampling large-batch data.

no code implementations • 16 Aug 2020 • Weichen Wang, Jiequn Han, Zhuoran Yang, Zhaoran Wang

Reinforcement learning is a powerful tool to learn the optimal policy of possibly multiple agents by interacting with the environment.

no code implementations • ICLR 2021 • Zuyue Fu, Zhuoran Yang, Zhaoran Wang

To the best of our knowledge, we establish the rate of convergence and global optimality of single-timescale actor-critic with linear function approximation for the first time.

no code implementations • 10 Jul 2020 • Mingyi Hong, Hoi-To Wai, Zhaoran Wang, Zhuoran Yang

Bilevel optimization is a class of problems which exhibit a two-level structure, and its goal is to minimize an outer objective function with variables which are constrained to be the optimal solution to an (inner) optimization problem.

no code implementations • ICLR 2019 • Yi Chen, Jinglin Chen, Jing Dong, Jian Peng, Zhaoran Wang

To attain the advantages of both regimes, we propose to use replica exchange, which swaps between two Langevin diffusions with different temperatures.

no code implementations • 2 Jul 2020 • Luofeng Liao, You-Lin Chen, Zhuoran Yang, Bo Dai, Zhaoran Wang, Mladen Kolar

We study estimation in a class of generalized SEMs where the object of interest is defined as the solution to a linear operator equation.

no code implementations • NeurIPS 2020 • Yingjie Fei, Zhuoran Yang, Zhaoran Wang, Qiaomin Xie

We consider reinforcement learning (RL) in episodic MDPs with adversarial full-information reward feedback and unknown fixed transition kernels.

no code implementations • ICML 2020 • Lingxiao Wang, Qi Cai, Zhuoran Yang, Zhaoran Wang

Model-agnostic meta-learning (MAML) formulates meta-learning as a bilevel optimization problem, where the inner level solves each subtask based on a shared prior, while the outer level searches for the optimal shared prior by optimizing its aggregated performance over all the subtasks.

no code implementations • NeurIPS 2021 • Lingxiao Wang, Zhuoran Yang, Zhaoran Wang

Empowered by expressive function approximators such as neural networks, deep reinforcement learning (DRL) achieves tremendous empirical successes.

no code implementations • NeurIPS 2020 • Yingjie Fei, Zhuoran Yang, Yudong Chen, Zhaoran Wang, Qiaomin Xie

We study risk-sensitive reinforcement learning in episodic Markov decision processes with unknown transition kernels, where the goal is to optimize the total reward under the risk measure of exponential utility.

no code implementations • 21 Jun 2020 • Lingxiao Wang, Zhuoran Yang, Zhaoran Wang

We highlight that MF-FQI algorithm enjoys a "blessing of many agents" property in the sense that a larger number of observed agents improves the performance of MF-FQI algorithm.

Multi-agent Reinforcement Learning
reinforcement-learning
**+1**

no code implementations • 15 Jun 2020 • Wanxin Jin, Zhaoran Wang, Zhuoran Yang, Shaoshuai Mou

This paper develops an approach to learn a policy of a dynamical system that is guaranteed to be both provably safe and goal-reaching.

no code implementations • 8 Jun 2020 • Yufeng Zhang, Qi Cai, Zhuoran Yang, Yongxin Chen, Zhaoran Wang

We aim to answer the following questions: When the function approximator is a neural network, how does the associated feature representation evolve?

no code implementations • 21 Mar 2020 • Qianli Shen, Yan Li, Haoming Jiang, Zhaoran Wang, Tuo Zhao

Deep reinforcement learning (RL) has achieved great empirical successes in various domains.

no code implementations • 8 Mar 2020 • Yufeng Zhang, Qi Cai, Zhuoran Yang, Zhaoran Wang

Generative adversarial imitation learning (GAIL) demonstrates tremendous success in practice, especially when combined with neural networks.

no code implementations • ICML 2020 • Sen Na, Yuwei Luo, Zhuoran Yang, Zhaoran Wang, Mladen Kolar

We consider the bipartite graph and formalize its representation learning problem as a statistical estimation problem of parameters in a semiparametric exponential family distribution.

no code implementations • NeurIPS 2020 • Shuang Qiu, Xiaohan Wei, Zhuoran Yang, Jieping Ye, Zhaoran Wang

In particular, we prove that the proposed algorithm achieves $\widetilde{\mathcal{O}}(L|\mathcal{S}|\sqrt{|\mathcal{A}|T})$ upper bounds of both the regret and the constraint violation, where $L$ is the length of each episode.

no code implementations • 1 Mar 2020 • Dongsheng Ding, Xiaohan Wei, Zhuoran Yang, Zhaoran Wang, Mihailo R. Jovanović

To this end, we present an \underline{O}ptimistic \underline{P}rimal-\underline{D}ual Proximal Policy \underline{OP}timization (OPDOP) algorithm where the value function is estimated by combining the least-squares policy evaluation and an additional bonus term for safe exploration.

no code implementations • 17 Feb 2020 • Qiaomin Xie, Yudong Chen, Zhaoran Wang, Zhuoran Yang

In the offline setting, we control both players and aim to find the Nash Equilibrium by minimizing the duality gap.

no code implementations • ICLR 2020 • Minshuo Chen, Yizhou Wang, Tianyi Liu, Zhuoran Yang, Xingguo Li, Zhaoran Wang, Tuo Zhao

Generative Adversarial Imitation Learning (GAIL) is a powerful and practical approach for learning sequential decision-making policies.

1 code implementation • NeurIPS 2020 • Wanxin Jin, Zhaoran Wang, Zhuoran Yang, Shaoshuai Mou

This paper develops a Pontryagin Differentiable Programming (PDP) methodology, which establishes a unified framework to solve a broad class of learning and control tasks.

no code implementations • 14 Dec 2019 • Yuwei Luo, Zhuoran Yang, Zhaoran Wang, Mladen Kolar

Multi-agent reinforcement learning has been successfully applied to a number of challenging problems.

Multi-agent Reinforcement Learning
reinforcement-learning
**+1**

no code implementations • ICML 2020 • Qi Cai, Zhuoran Yang, Chi Jin, Zhaoran Wang

While policy-based reinforcement learning (RL) achieves tremendous successes in practice, it is significantly less understood in theory, especially compared with value-based RL.

no code implementations • NeurIPS 2019 • Lingxiao Wang, Zhuoran Yang, Zhaoran Wang

Using the statistical query model to characterize the computational cost of an algorithm, we show that when $\cov(Y, X^\top\beta^*)=0$ and $\cov(Y,(X^\top\beta^*)^2)>0$, no computationally tractable algorithms can achieve the information-theoretic limit of the minimax risk.

no code implementations • NeurIPS 2019 • Qi Cai, Zhuoran Yang, Jason D. Lee, Zhaoran Wang

Temporal-difference learning (TD), coupled with neural networks, is among the most fundamental building blocks of deep reinforcement learning.

no code implementations • NeurIPS 2019 • Boyi Liu, Qi Cai, Zhuoran Yang, Zhaoran Wang

Proximal policy optimization and trust region policy optimization (PPO and TRPO) with actor and critic parametrized by neural networks achieve significant empirical success in deep reinforcement learning.

no code implementations • NeurIPS 2019 • Zhuoran Yang, Yongxin Chen, Mingyi Hong, Zhaoran Wang

Despite the empirical success of the actor-critic algorithm, its theoretical understanding lags behind.

no code implementations • NeurIPS 2019 • Hoi-To Wai, Mingyi Hong, Zhuoran Yang, Zhaoran Wang, Kexin Tang

Policy evaluation with smooth and nonlinear function approximation has shown great potential for reinforcement learning.

1 code implementation • NeurIPS 2019 • Ming Yu, Zhuoran Yang, Mladen Kolar, Zhaoran Wang

We study the safe reinforcement learning problem with nonlinear function approximation, where policy optimization is formulated as a constrained optimization problem with both the objective and the constraint being nonconvex functions.

Multi-agent Reinforcement Learning
reinforcement-learning
**+2**

no code implementations • ICLR 2020 • Zuyue Fu, Zhuoran Yang, Yongxin Chen, Zhaoran Wang

We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost.

1 code implementation • 8 Oct 2019 • Jiaheng Wei, Zuyue Fu, Yang Liu, Xingyu Li, Zhuoran Yang, Zhaoran Wang

We also show a connection between this sample elicitation problem and $f$-GAN, and how this connection can help reconstruct an estimator of the distribution based on collected samples.

no code implementations • 25 Sep 2019 • Yang Liu, Zuyue Fu, Zhuoran Yang, Zhaoran Wang

While classical elicitation results apply to eliciting a complex and generative (and continuous) distribution $p(x)$ for this image data, we are interested in eliciting samples $x_i \sim p(x)$ from agents.

no code implementations • ICLR 2020 • Lingxiao Wang, Qi Cai, Zhuoran Yang, Zhaoran Wang

In detail, we prove that neural natural policy gradient converges to a globally optimal policy at a sublinear rate.

no code implementations • 7 Aug 2019 • Dongsheng Ding, Xiaohan Wei, Zhuoran Yang, Zhaoran Wang, Mihailo R. Jovanović

We study the policy evaluation problem in multi-agent reinforcement learning where a group of agents, with jointly observed states and private local actions and rewards, collaborate to learn the value function of a given policy via local computation and communication over a connected undirected network.

no code implementations • NeurIPS 2016 • Xinyang Yi, Zhaoran Wang, Zhuoran Yang, Constantine Caramanis, Han Liu

We consider the weakly supervised binary classification problem where the labels are randomly flipped with probability $1- {\alpha}$.

no code implementations • 14 Jul 2019 • Zhuoran Yang, Yongxin Chen, Mingyi Hong, Zhaoran Wang

Despite the empirical success of the actor-critic algorithm, its theoretical understanding lags behind.

2 code implementations • 11 Jul 2019 • Chi Jin, Zhuoran Yang, Zhaoran Wang, Michael. I. Jordan

Modern Reinforcement Learning (RL) is commonly applied to practical problems with an enormous number of states, where function approximation must be deployed to approximate either the value function or the policy.

no code implementations • 6 Jul 2019 • Yixuan Lin, Kaiqing Zhang, Zhuoran Yang, Zhaoran Wang, Tamer Başar, Romeil Sandhu, Ji Liu

This paper considers a distributed reinforcement learning problem in which a network of multiple agents aim to cooperatively maximize the globally averaged return through communication with only local neighbors.

no code implementations • 25 Jun 2019 • Boyi Liu, Qi Cai, Zhuoran Yang, Zhaoran Wang

Proximal policy optimization and trust region policy optimization (PPO and TRPO) with actor and critic parametrized by neural networks achieve significant empirical success in deep reinforcement learning.

1 code implementation • NeurIPS 2019 • Qi Cai, Zhuoran Yang, Jason D. Lee, Zhaoran Wang

Temporal-difference learning (TD), coupled with neural networks, is among the most fundamental building blocks of deep reinforcement learning.

no code implementations • ICLR 2019 • Xingguo Li, Junwei Lu, Zhaoran Wang, Jarvis Haupt, Tuo Zhao

We propose a generalization error bound for a general family of deep neural networks based on the depth and width of the networks, as well as the spectral norm of weight matrices.

1 code implementation • 15 Mar 2019 • Wesley Suttle, Zhuoran Yang, Kaiqing Zhang, Zhaoran Wang, Tamer Basar, Ji Liu

This paper extends off-policy reinforcement learning to the multi-agent case in which a set of networked agents communicating with their neighbors according to a time-varying graph collaboratively evaluates and improves a target policy while following a distinct behavior policy.

no code implementations • 11 Jan 2019 • Qi Cai, Mingyi Hong, Yongxin Chen, Zhaoran Wang

We study the global convergence of generative adversarial imitation learning for linear quadratic regulators, which is posed as minimax optimization.

no code implementations • 1 Jan 2019 • Jianqing Fan, Zhaoran Wang, Yuchen Xie, Zhuoran Yang

Despite the great empirical success of deep reinforcement learning, its theoretical foundation is less well understood.

no code implementations • NeurIPS 2018 • Ming Yu, Zhuoran Yang, Tuo Zhao, Mladen Kolar, Zhaoran Wang

In this paper, we study the Gaussian embedding model and develop the first theoretical results for exponential family embedding models.

1 code implementation • 16 Oct 2018 • Sen Na, Zhuoran Yang, Zhaoran Wang, Mladen Kolar

We study the parameter estimation problem for a varying index coefficient model in high dimensions.

no code implementations • 27 Sep 2018 • Zhuoran Yang, Zuyue Fu, Kaiqing Zhang, Zhaoran Wang

We study reinforcement learning algorithms with nonlinear function approximation in the online setting.

no code implementations • 17 Sep 2018 • Kean Ming Tan, Zhaoran Wang, Tong Zhang, Han Liu, R. Dennis Cook

Sliced inverse regression is a popular tool for sufficient dimension reduction, which replaces covariates with a minimal set of their linear combinations without loss of information on the conditional distribution of the response given the covariates.

no code implementations • NeurIPS 2016 • Chris Junchi Li, Zhaoran Wang, Han Liu

Despite the empirical success of nonconvex statistical optimization methods, their global dynamics, especially convergence to the desirable local minima, remain less well understood in theory.

no code implementations • 21 Aug 2018 • Jianqing Fan, Han Liu, Zhaoran Wang, Zhuoran Yang

We study the fundamental tradeoffs between statistical accuracy and computational tractability in the analysis of high dimensional heterogeneous data.

no code implementations • ICLR 2019 • Yuan Xie, Boyi Liu, Qiang Liu, Zhaoran Wang, Yuan Zhou, Jian Peng

Such an error reduction phenomenon is somewhat surprising as the estimated surrogate policy is less accurate than the given historical policy.

no code implementations • ICML 2018 • Hao Lu, Yuan Cao, Zhuoran Yang, Junwei Lu, Han Liu, Zhaoran Wang

We study the hypothesis testing problem of inferring the existence of combinatorial structures in undirected graphical models.

no code implementations • 13 Jun 2018 • Xingguo Li, Junwei Lu, Zhaoran Wang, Jarvis Haupt, Tuo Zhao

We establish a margin based data dependent generalization error bound for a general family of deep neural networks in terms of the depth and width, as well as the Jacobian of the networks.

no code implementations • NeurIPS 2018 • Hoi-To Wai, Zhuoran Yang, Zhaoran Wang, Mingyi Hong

Despite the success of single-agent reinforcement learning, multi-agent reinforcement learning (MARL) remains challenging due to complex interactions between agents.

Multi-agent Reinforcement Learning
reinforcement-learning
**+1**

no code implementations • 11 Mar 2018 • Yingxiang Yang, Adams Wei Yu, Zhaoran Wang, Tuo Zhao

We propose a nonparametric method for detecting nonlinear causal relationship within a set of multidimensional discrete time series, by using sparse additive models (SpAMs).

no code implementations • 18 Dec 2017 • Zhuoran Yang, Lin F. Yang, Ethan X. Fang, Tuo Zhao, Zhaoran Wang, Matey Neykov

Existing nonconvex statistical optimization theory and methods crucially rely on the correct specification of the underlying "true" statistical models.

no code implementations • 29 Dec 2016 • Xingguo Li, Junwei Lu, Raman Arora, Jarvis Haupt, Han Liu, Zhaoran Wang, Tuo Zhao

We propose a general theory for studying the \xl{landscape} of nonconvex \xl{optimization} with underlying symmetric structures \tz{for a class of machine learning problems (e. g., low-rank matrix factorization, phase retrieval, and deep linear neural networks)}.

no code implementations • NeurIPS 2016 • Matey Neykov, Zhaoran Wang, Han Liu

The goal of noisy high-dimensional phase retrieval is to estimate an $s$-sparse parameter $\boldsymbol{\beta}^*\in \mathbb{R}^d$ from $n$ realizations of the model $Y = (\boldsymbol{X}^{\top} \boldsymbol{\beta}^*)^2 + \varepsilon$.

no code implementations • NeurIPS 2016 • Alex Beatson, Zhaoran Wang, Han Liu

We study the potential of a “blind attacker” to provably limit a learner’s performance by data injection attack without observing the learner’s training set or any parameter of the distribution from which it is drawn.

no code implementations • 15 Sep 2016 • Xiang Lyu, Will Wei Sun, Zhaoran Wang, Han Liu, Jian Yang, Guang Cheng

We consider the estimation and inference of graphical models that characterize the dependency structure of high-dimensional tensor-valued data.

no code implementations • NeurIPS 2016 • Davood Hajinezhad, Mingyi Hong, Tuo Zhao, Zhaoran Wang

We study a stochastic and distributed algorithm for nonconvex problems whose objective consists of a sum of $N$ nonconvex $L_i/N$-smooth functions, plus a nonsmooth regularizer.

no code implementations • 29 Apr 2016 • Kean Ming Tan, Zhaoran Wang, Han Liu, Tong Zhang

Sparse generalized eigenvalue problem (GEP) plays a pivotal role in a large family of high-dimensional statistical models, including sparse Fisher's discriminant analysis, canonical correlation analysis, and sufficient dimension reduction.

no code implementations • 30 Dec 2015 • Zhaoran Wang, Quanquan Gu, Han Liu

Based upon an oracle model of computation, which captures the interactions between algorithms and data, we establish a general lower bound that explicitly connects the minimum testing risk under computational budget constraints with the intrinsic probabilistic and combinatorial structures of statistical problems.

no code implementations • NeurIPS 2015 • Zhaoran Wang, Quanquan Gu, Yang Ning, Han Liu

We provide a general theory of the expectation-maximization (EM) algorithm for inferring high dimensional latent variable models.

no code implementations • NeurIPS 2015 • Tuo Zhao, Zhaoran Wang, Han Liu

We study the estimation of low rank matrices via nonconvex optimization.

no code implementations • NeurIPS 2015 • Wei Sun, Zhaoran Wang, Han Liu, Guang Cheng

We consider the estimation of sparse graphical models that characterize the dependency structure of high-dimensional tensor-valued data.

no code implementations • 14 Nov 2015 • Zhuoran Yang, Zhaoran Wang, Han Liu, Yonina C. Eldar, Tong Zhang

To recover $\beta^*$, we propose an $\ell_1$-regularized least-squares estimator.

no code implementations • NeurIPS 2015 • Xinyang Yi, Zhaoran Wang, Constantine Caramanis, Han Liu

This model is known as the single-index model in statistics, and, among other things, it represents a significant generalization of one-bit compressed sensing.

no code implementations • 4 Mar 2015 • Zhaoran Wang, Quanquan Gu, Han Liu

Many high dimensional sparse learning problems are formulated as nonconvex optimization.

no code implementations • 30 Dec 2014 • Zhaoran Wang, Quanquan Gu, Yang Ning, Han Liu

We provide a general theory of the expectation-maximization (EM) algorithm for inferring high dimensional latent variable models.

no code implementations • NeurIPS 2014 • Quanquan Gu, Zhaoran Wang, Han Liu

In particular, under a weak assumption on the magnitude of the population projection matrix, one estimator within this family exactly recovers the true support with high probability, has exact rank-$k$, and attains a $\sqrt{s/n}$ statistical rate of convergence with $s$ being the subspace sparsity level and $n$ the sample size.

no code implementations • NeurIPS 2014 • Zhaoran Wang, Huanran Lu, Han Liu

In this paper, we propose a two-stage sparse PCA procedure that attains the optimal principal subspace estimator in polynomial time.

no code implementations • 22 Aug 2014 • Zhaoran Wang, Huanran Lu, Han Liu

To optimally estimate sparse principal subspaces, we propose a two-stage computational framework named "tighten after relax": Within the 'relax' stage, we approximately solve a convex relaxation of sparse PCA with early stopping to obtain a desired initial estimator; For the 'tighten' stage, we propose a novel algorithm called sparse orthogonal iteration pursuit (SOAP), which iteratively refines the initial estimator by directly solving the underlying nonconvex problem.

no code implementations • 30 Jun 2013 • Zhaoran Wang, Fang Han, Han Liu

We study sparse principal component analysis for high dimensional vector autoregressive time series under a doubly asymptotic framework, which allows the dimension $d$ to scale with the series length $T$.

no code implementations • 20 Jun 2013 • Zhaoran Wang, Han Liu, Tong Zhang

In particular, our analysis improves upon existing results by providing a more refined sample complexity bound as well as an exact support recovery result for the final estimator.

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