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Approximation of Convex Envelope Using Reinforcement Learning
Vivek S. Borkar, Adit Akarsh · 2023-11-24 · via cs.LG updates on arXiv.org

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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