Approximation of Convex Envelope Using Reinforcement Learning

Vivek S. Borkar; Adit Akarsh

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arXiv · 2311.14421

Approximation of Convex Envelope Using Reinforcement Learning

Vivek S. Borkar·Adit Akarsh

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Abstract

Oberman gave a stochastic control formulation of the problem of estimating the convex envelope of a non-convex function. Based on this, we develop a reinforcement learning scheme to approximate the convex envelope, using a variant of Q-learning for controlled optimal stopping. It shows very promising results on a standard library of test problems.

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BibTeX RIS

Vivek S. Borkar, Adit Akarsh. 2023-11-24. Approximation of Convex Envelope Using Reinforcement Learning. https://arxiv.org/abs/2311.14421

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