Rui Silva

Thomas Spooner, Rui Silva, Joshua Lockhart et al.

Solving general Markov decision processes (MDPs) is a computationally hard problem. Solving finite-horizon MDPs, on the other hand, is highly tractable with well known polynomial-time algorithms. What drives this extreme disparity, and do problems exist that lie between these diametrically opposed complexities? In this paper we identify and analyse a sub-class of stochastic shortest path problems (SSPs) for general state-action spaces whose dynamics satisfy a particular drift condition. This construction generalises the traditional, temporal notion of a horizon via decreasing reachability: a property called reductivity. It is shown that optimal policies can be recovered in polynomial-time for reductive SSPs -- via an extension of backwards induction -- with an efficient analogue in reductive MDPs. The practical considerations of the proposed approach are discussed, and numerical verification provided on a canonical optimal liquidation problem.

Andrew Estornell, Stylianos Loukas Vasileiou, William Yeoh et al.

In today's competitive financial landscape, understanding and anticipating customer goals is crucial for institutions to deliver a personalized and optimized user experience. This has given rise to the problem of accurately predicting customer goals and actions. Focusing on that problem, we use historical customer traces generated by a realistic simulator and present two simple models for predicting customer goals and future actions -- an LSTM model and an LSTM model enhanced with state-space graph embeddings. Our results demonstrate the effectiveness of these models when it comes to predicting customer goals and actions.

Rui Silva, Miguel Vasco, Francisco S. Melo et al.

In this work we explore the use of latent representations obtained from multiple input sensory modalities (such as images or sounds) in allowing an agent to learn and exploit policies over different subsets of input modalities. We propose a three-stage architecture that allows a reinforcement learning agent trained over a given sensory modality, to execute its task on a different sensory modality-for example, learning a visual policy over image inputs, and then execute such policy when only sound inputs are available. We show that the generalized policies achieve better out-of-the-box performance when compared to different baselines. Moreover, we show this holds in different OpenAI gym and video game environments, even when using different multimodal generative models and reinforcement learning algorithms.