scholarly journals Reinforcement Learning Approaches to Optimal Market Making

Mathematics ◽  
2021 ◽  
Vol 9 (21) ◽  
pp. 2689
Author(s):  
Bruno Gašperov ◽  
Stjepan Begušić ◽  
Petra Posedel Šimović ◽  
Zvonko Kostanjčar
Keyword(s):  
Reinforcement Learning ◽  
Control Process ◽  
Analytical Models ◽  
Superior Performance ◽  
Inventory Level ◽  
Order Book ◽  
Learning Approaches ◽  
Dynamic Adjustment ◽  
Market Making ◽  
Markov Decision

Market making is the process whereby a market participant, called a market maker, simultaneously and repeatedly posts limit orders on both sides of the limit order book of a security in order to both provide liquidity and generate profit. Optimal market making entails dynamic adjustment of bid and ask prices in response to the market maker’s current inventory level and market conditions with the goal of maximizing a risk-adjusted return measure. This problem is naturally framed as a Markov decision process, a discrete-time stochastic (inventory) control process. Reinforcement learning, a class of techniques based on learning from observations and used for solving Markov decision processes, lends itself particularly well to it. Recent years have seen a very strong uptick in the popularity of such techniques in the field, fueled in part by a series of successes of deep reinforcement learning in other domains. The primary goal of this paper is to provide a comprehensive and up-to-date overview of the current state-of-the-art applications of (deep) reinforcement learning focused on optimal market making. The analysis indicated that reinforcement learning techniques provide superior performance in terms of the risk-adjusted return over more standard market making strategies, typically derived from analytical models.

scholarly journals Deep Reinforcement Learning for Tropical Air Free-cooled Data Center Control

2021 ◽  
Vol 17 (3) ◽  
pp. 1-28
Author(s):  
Duc Van Le ◽  
Rongrong Wang ◽  
Yingbo Liu ◽  
Rui Tan ◽  
Yew-Wah Wong ◽  
...  
Keyword(s):  
Reinforcement Learning ◽  
Air Temperature ◽  
Control Policy ◽  
Real Data ◽  
Superior Performance ◽  
Tropical Zone ◽  
Performance Improvements ◽  
Extensive Evaluation ◽  
Markov Decision ◽  
The Tropics

Air free-cooled data centers (DCs) have not existed in the tropical zone due to the unique challenges of year-round high ambient temperature and relative humidity (RH). The increasing availability of servers that can tolerate higher temperatures and RH due to the regulatory bodies’ prompts to raise DC temperature setpoints sheds light upon the feasibility of air free-cooled DCs in the tropics. However, due to the complex psychrometric dynamics, operating the air free-cooled DC in the tropics generally requires adaptive control of supply air condition to maintain the computing performance and reliability of the servers. This article studies the problem of controlling the supply air temperature and RH in a free-cooled tropical DC below certain thresholds. To achieve the goal, we formulate the control problem as Markov decision processes and apply deep reinforcement learning (DRL) to learn the control policy that minimizes the cooling energy while satisfying the requirements on the supply air temperature and RH. We also develop a constrained DRL solution for performance improvements. Extensive evaluation based on real data traces collected from an air free-cooled testbed and comparisons among the unconstrained and constrained DRL approaches as well as two other baseline approaches show the superior performance of our proposed solutions.

scholarly journals Selective auditory attention detection using dynamic learning systems: The study of RNN and reinforcement learning

2021 ◽  
Author(s):  
Masoud Geravanchizadeh ◽  
Hossein Roushan
Keyword(s):  
Reinforcement Learning ◽  
Detection System ◽  
Auditory Attention ◽  
Final Decision ◽  
Learning Approaches ◽  
Cocktail Party ◽  
Dynamic Learning ◽  
Learning Stage ◽  
Q Learning ◽  
Markov Decision

AbstractThe cocktail party phenomenon describes the ability of the human brain to focus auditory attention on a particular stimulus while ignoring other acoustic events. Selective auditory attention detection (SAAD) is an important issue in the development of brain-computer interface systems and cocktail party processors. This paper proposes a new dynamic attention detection system to process the temporal evolution of the input signal. In the proposed dynamic system, after preprocessing of the input signals, the probabilistic state space of the system is formed. Then, in the learning stage, different dynamic learning methods, including recurrent neural network (RNN) and reinforcement learning (Markov decision process (MDP) and deep Q-learning) are applied to make the final decision as to the attended speech. Among different dynamic learning approaches, the evaluation results show that the deep Q-learning approach (MDP+RNN) provides the highest classification accuracy (94.2%) with the least detection delay. The proposed SAAD system is advantageous, in the sense that the detection of attention is performed dynamically for the sequential inputs. Also, the system has the potential to be used in scenarios, where the attention of the listener might be switched in time in the presence of various acoustic events.

scholarly journals Deep convolutional neural networks for cardiovascular vulnerable plaque detection

2019 ◽  
Vol 277 ◽  
pp. 02024 ◽  
Author(s):  
Lincan Li ◽  
Tong Jia ◽  
Tianqi Meng ◽  
Yizhe Liu
Keyword(s):  
Neural Networks ◽  
Deep Learning ◽  
Convolutional Neural Networks ◽  
Vulnerable Plaque ◽  
Recall Rate ◽  
Superior Performance ◽  
Learning Approaches ◽  
Deep Convolutional Neural Networks ◽  
Vulnerable Plaques ◽  
Plaque Detection

In this paper, an accurate two-stage deep learning method is proposed to detect vulnerable plaques in ultrasonic images of cardiovascular. Firstly, a Fully Convonutional Neural Network (FCN) named U-Net is used to segment the original Intravascular Optical Coherence Tomography (IVOCT) cardiovascular images. We experiment on different threshold values to find the best threshold for removing noise and background in the original images. Secondly, a modified Faster RCNN is adopted to do precise detection. The modified Faster R-CNN utilize six-scale anchors (122,162,322,642,1282,2562) instead of the conventional one scale or three scale approaches. First, we present three problems in cardiovascular vulnerable plaque diagnosis, then we demonstrate how our method solve these problems. The proposed method in this paper apply deep convolutional neural networks to the whole diagnostic procedure. Test results show the Recall rate, Precision rate, IoU (Intersection-over-Union) rate and Total score are 0.94, 0.885, 0.913 and 0.913 respectively, higher than the 1st team of CCCV2017 Cardiovascular OCT Vulnerable Plaque Detection Challenge. AP of the designed Faster RCNN is 83.4%, higher than conventional approaches which use one-scale or three-scale anchors. These results demonstrate the superior performance of our proposed method and the power of deep learning approaches in diagnose cardiovascular vulnerable plaques.

scholarly journals Inverse reinforcement learning in contextual MDPs

2021 ◽  
Author(s):  
Stav Belogolovsky ◽  
Philip Korsunsky ◽  
Shie Mannor ◽  
Chen Tessler ◽  
Tom Zahavy
Keyword(s):  
Reinforcement Learning ◽  
Optimization Problem ◽  
Decision Processes ◽  
Inverse Reinforcement Learning ◽  
Convex Optimization Problem ◽  
Reward Function ◽  
Dynamic Treatment Regime ◽  
Markov Decision ◽  
Dynamic Treatment ◽  
Recorded Data

AbstractWe consider the task of Inverse Reinforcement Learning in Contextual Markov Decision Processes (MDPs). In this setting, contexts, which define the reward and transition kernel, are sampled from a distribution. In addition, although the reward is a function of the context, it is not provided to the agent. Instead, the agent observes demonstrations from an optimal policy. The goal is to learn the reward mapping, such that the agent will act optimally even when encountering previously unseen contexts, also known as zero-shot transfer. We formulate this problem as a non-differential convex optimization problem and propose a novel algorithm to compute its subgradients. Based on this scheme, we analyze several methods both theoretically, where we compare the sample complexity and scalability, and empirically. Most importantly, we show both theoretically and empirically that our algorithms perform zero-shot transfer (generalize to new and unseen contexts). Specifically, we present empirical experiments in a dynamic treatment regime, where the goal is to learn a reward function which explains the behavior of expert physicians based on recorded data of them treating patients diagnosed with sepsis.

scholarly journals Optimal Policies for Quantum Markov Decision Processes

2021 ◽  
Author(s):  
Ming-Sheng Ying ◽  
Yuan Feng ◽  
Sheng-Gang Ying
Keyword(s):  
Decision Making ◽  
Reinforcement Learning ◽  
Quantum Systems ◽  
Sequential Decision Making ◽  
Mathematical Framework ◽  
Sequential Decision ◽  
Learning Techniques ◽  
Optimal Policies ◽  
Markov Decision ◽  
Programming Algorithms

AbstractMarkov decision process (MDP) offers a general framework for modelling sequential decision making where outcomes are random. In particular, it serves as a mathematical framework for reinforcement learning. This paper introduces an extension of MDP, namely quantum MDP (qMDP), that can serve as a mathematical model of decision making about quantum systems. We develop dynamic programming algorithms for policy evaluation and finding optimal policies for qMDPs in the case of finite-horizon. The results obtained in this paper provide some useful mathematical tools for reinforcement learning techniques applied to the quantum world.

scholarly journals Goal-driven active learning

2021 ◽  
Vol 35 (2) ◽  
Author(s):  
Nicolas Bougie ◽  
Ryutaro Ichise
Keyword(s):  
Decision Making ◽  
Reinforcement Learning ◽  
Learning Process ◽  
Real World ◽  
Imitation Learning ◽  
Learning Approaches ◽  
Wide Range ◽  
Fixed Set ◽  
Complex Decision Making ◽  
Complex Decision

AbstractDeep reinforcement learning methods have achieved significant successes in complex decision-making problems. In fact, they traditionally rely on well-designed extrinsic rewards, which limits their applicability to many real-world tasks where rewards are naturally sparse. While cloning behaviors provided by an expert is a promising approach to the exploration problem, learning from a fixed set of demonstrations may be impracticable due to lack of state coverage or distribution mismatch—when the learner’s goal deviates from the demonstrated behaviors. Besides, we are interested in learning how to reach a wide range of goals from the same set of demonstrations. In this work we propose a novel goal-conditioned method that leverages very small sets of goal-driven demonstrations to massively accelerate the learning process. Crucially, we introduce the concept of active goal-driven demonstrations to query the demonstrator only in hard-to-learn and uncertain regions of the state space. We further present a strategy for prioritizing sampling of goals where the disagreement between the expert and the policy is maximized. We evaluate our method on a variety of benchmark environments from the Mujoco domain. Experimental results show that our method outperforms prior imitation learning approaches in most of the tasks in terms of exploration efficiency and average scores.

scholarly journals Optimising Performance for NB-IoT UE Devices through Data Driven Models

2021 ◽  
Vol 10 (1) ◽  
pp. 21
Author(s):  
Omar Nassef ◽  
Toktam Mahmoodi ◽  
Foivos Michelinakis ◽  
Kashif Mahmood ◽  
Ahmed Elmokashfi
Keyword(s):  
Neural Network ◽  
Reinforcement Learning ◽  
Gradient Descent ◽  
Deep Neural Network ◽  
Narrow Band ◽  
Learning Algorithm ◽  
Base Station ◽  
User Equipment ◽  
Data Driven ◽  
Superior Performance

This paper presents a data driven framework for performance optimisation of Narrow-Band IoT user equipment. The proposed framework is an edge micro-service that suggests one-time configurations to user equipment communicating with a base station. Suggested configurations are delivered from a Configuration Advocate, to improve energy consumption, delay, throughput or a combination of those metrics, depending on the user-end device and the application. Reinforcement learning utilising gradient descent and genetic algorithm is adopted synchronously with machine and deep learning algorithms to predict the environmental states and suggest an optimal configuration. The results highlight the adaptability of the Deep Neural Network in the prediction of intermediary environmental states, additionally the results present superior performance of the genetic reinforcement learning algorithm regarding its performance optimisation.

scholarly journals Reinforcement Learning Approaches in Social Robotics

Sensors ◽  
2021 ◽  
Vol 21 (4) ◽  
pp. 1292
Author(s):  
Neziha Akalin ◽  
Amy Loutfi
Keyword(s):  
Reinforcement Learning ◽  
Real World ◽  
Social Robotics ◽  
Research Field ◽  
Social Robots ◽  
Learning Approaches ◽  
Reward Function ◽  
Optimal Behavior ◽  
Learning Challenges ◽  
Starting Point

This article surveys reinforcement learning approaches in social robotics. Reinforcement learning is a framework for decision-making problems in which an agent interacts through trial-and-error with its environment to discover an optimal behavior. Since interaction is a key component in both reinforcement learning and social robotics, it can be a well-suited approach for real-world interactions with physically embodied social robots. The scope of the paper is focused particularly on studies that include social physical robots and real-world human-robot interactions with users. We present a thorough analysis of reinforcement learning approaches in social robotics. In addition to a survey, we categorize existent reinforcement learning approaches based on the used method and the design of the reward mechanisms. Moreover, since communication capability is a prominent feature of social robots, we discuss and group the papers based on the communication medium used for reward formulation. Considering the importance of designing the reward function, we also provide a categorization of the papers based on the nature of the reward. This categorization includes three major themes: interactive reinforcement learning, intrinsically motivated methods, and task performance-driven methods. The benefits and challenges of reinforcement learning in social robotics, evaluation methods of the papers regarding whether or not they use subjective and algorithmic measures, a discussion in the view of real-world reinforcement learning challenges and proposed solutions, the points that remain to be explored, including the approaches that have thus far received less attention is also given in the paper. Thus, this paper aims to become a starting point for researchers interested in using and applying reinforcement learning methods in this particular research field.

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