Exploration versus exploitation in reinforcement learning: a stochastic control approach

no code implementations • 4 Dec 2018 • Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou

We carry out a complete analysis of the problem in the linear--quadratic (LQ) setting and deduce that the optimal feedback control distribution for balancing exploitation and exploration is Gaussian.

reinforcement-learning Reinforcement Learning (RL)