Deterministic Policy Gradient for Learning Equilibrium in Time-Inconsistent Control Problems

• URL: http://arxiv.org/abs/2606.11798v1
• Date: Wed, 10 Jun 2026 08:31:54 GMT
• Title: Deterministic Policy Gradient for Learning Equilibrium in Time-Inconsistent Control Problems
• Abstract summary: We develop a continuous-time model-free reinforcement learning algorithm to learn deterministic equilibrium policies.<n>Our algorithm aims to learn the equilibrium under different sources of time-inconsistency in a unified manner.
• Score: 6.052777291016067
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this paper, we develop a continuous-time model-free reinforcement learning algorithm to learn deterministic equilibrium policies in general time-inconsistent control problems. Utilizing the extended Hamilton-Jacobi-Bellman system, we recast the original time-inconsistent problem into an equivalent two-stage problem. In the first stage, for given auxiliary functions, we employ the deterministic policy gradient approach to learn an optimal policy in an auxiliary time-consistent control problem. In the second stage, given the updated policy, we exploit the inner fixed point iterations and some martingale characterizations to learn the auxiliary functions. As a theoretical contribution, we provide some mild model assumptions and establish the convergence of inner fixed point iterations. By repeating this actor-critic style of iterations across two stages, our algorithm aims to learn the equilibrium under different sources of time-inconsistency in a unified manner. The superior effectiveness of the proposed algorithm are illustrated in two classical financial applications with time-inconsistency: mean-variance portfolio management and optimal tracking portfolio under non-exponential discounting.

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