Data-Driven Exploration for a Class of Continuous-Time Indefinite Linear--Quadratic Reinforcement Learning Problems

• URL: http://arxiv.org/abs/2507.00358v2
• Date: Wed, 23 Jul 2025 14:00:39 GMT
• Title: Data-Driven Exploration for a Class of Continuous-Time Indefinite Linear--Quadratic Reinforcement Learning Problems
• Authors: Yilie Huang, Xun Yu Zhou,
• Abstract summary: We study reinforcement learning for continuous-time linear-quadratic (LQ) control problems.<n>We propose a model-free, data-driven exploration mechanism that adaptively adjusts entropy regularization by the critic.<n>Our method achieves a sublinear regret bound that matches the best-known model-free results for this class of LQ problems.
• Score: 6.859965454961918
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We study reinforcement learning (RL) for the same class of continuous-time stochastic linear--quadratic (LQ) control problems as in \cite{huang2024sublinear}, where volatilities depend on both states and controls while states are scalar-valued and running control rewards are absent. We propose a model-free, data-driven exploration mechanism that adaptively adjusts entropy regularization by the critic and policy variance by the actor. Unlike the constant or deterministic exploration schedules employed in \cite{huang2024sublinear}, which require extensive tuning for implementations and ignore learning progresses during iterations, our adaptive exploratory approach boosts learning efficiency with minimal tuning. Despite its flexibility, our method achieves a sublinear regret bound that matches the best-known model-free results for this class of LQ problems, which were previously derived only with fixed exploration schedules. Numerical experiments demonstrate that adaptive explorations accelerate convergence and improve regret performance compared to the non-adaptive model-free and model-based counterparts.

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