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  1. We investigate statistical uncertainty quantification for reinforcement learning (RL) and its implications in exploration policy. Despite ever-growing literature on RL applications, fundamental questions about inference and error quantification, such as large-sample behaviors, appear to remain quite open. In this paper, we fill in the literature gap by studying the central limit theorem behaviors of estimated Q-values and value functions under various RL settings. In particular, we explicitly identify closed-form expressions of the asymptotic variances, which allow us to efficiently construct asymptotically valid confidence regions for key RL quantities. Furthermore, we utilize these asymptotic expressions to design an effective exploration strategy, which we call Q-value-based Optimal Computing Budget Allocation (Q-OCBA). The policy relies on maximizing the relative discrepancies among the Q-value estimates. Numerical experiments show superior performances of our exploration strategy than other benchmark policies. Funding: This work was supported by the National Science Foundation (1720433). 
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    Free, publicly-accessible full text available March 2, 2024
  2. Free, publicly-accessible full text available October 8, 2023
  3. We study rare-event simulation for a class of problems where the target hitting sets of interest are defined via modern machine learning tools such as neural networks and random forests. This problem is motivated from fast emerging studies on the safety evaluation of intelligent systems, robustness quantification of learning models, and other potential applications to large-scale simulation in which machine learning tools can be used to approximate complex rare-event set boundaries. We investigate an importance sampling scheme that integrates the dominating point machinery in large deviations and sequential mixed integer programming to locate the underlying dominating points. Our approach works for a range of neural network architectures including fully connected layers, rectified linear units, normalization, pooling and convolutional layers, and random forests built from standard decision trees. We provide efficiency guarantees and numerical demonstration of our approach using a classification model in the UCI Machine Learning Repository. 
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  4. In stochastic simulation, input uncertainty refers to the output variability arising from the statistical noise in specifying the input models. This uncertainty can be measured by a variance contribution in the output, which, in the nonparametric setting, is commonly estimated via the bootstrap. However, due to the convolution of the simulation noise and the input noise, the bootstrap consists of a two-layer sampling and typically requires substantial simulation effort. This paper investigates a subsampling framework to reduce the required effort, by leveraging the form of the variance and its estimation error in terms of the data size and the sampling requirement in each layer. We show how the total required effort can be reduced from an order bigger than the data size in the conventional approach to an order independent of the data size in subsampling. We explicitly identify the procedural specifications in our framework that guarantee relative consistency in the estimation and the corresponding optimal simulation budget allocations. We substantiate our theoretical results with numerical examples. 
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    We consider optimization problems with uncertain constraints that need to be satisfied probabilistically. When data are available, a common method to obtain feasible solutions for such problems is to impose sampled constraints following the so-called scenario optimization approach. However, when the data size is small, the sampled constraints may not statistically support a feasibility guarantee on the obtained solution. This article studies how to leverage parametric information and the power of Monte Carlo simulation to obtain feasible solutions for small-data situations. Our approach makes use of a distributionally robust optimization (DRO) formulation that translates the data size requirement into a Monte Carlo sample size requirement drawn from what we call a generating distribution. We show that, while the optimal choice of this generating distribution is the one eliciting the data or the baseline distribution in a nonparametric divergence-based DRO, it is not necessarily so in the parametric case. Correspondingly, we develop procedures to obtain generating distributions that improve upon these basic choices. We support our findings with several numerical examples. 
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