A Reinforcement Learning Framework for Some Singular Stochastic Control Problems

Abstract: We develop a continuous-time reinforcement learning framework for a class of singular stochastic control problems without entropy regularization. The optimal singular control is characterized as the optimal singular control law, which is a pair of regions of time and the augmented states. The goal of learning is to identify such an optimal region via the trial-and-error procedure. In this context, we generalize the existing policy evaluation theories with regular controls to learn our optimal singular control law and develop a policy improvement theorem via the region iteration. To facilitate the model-free policy iteration procedure, we further introduce the zero-order and first-order q-functions arising from singular control problems and establish the martingale characterization for the pair of q-functions together with the value function. Based on our theoretical findings, some q-learning algorithms are devised accordingly and a numerical example based on simulation experiment is presented.