Autoregressive Policy Optimization for Constrained Allocation Tasks

Allocation tasks represent a class of problems where a limited amount of resources must be allocated to a set of entities at each time step. Prominent examples of this task include portfolio optimization or distributing computational workloads across servers. Allocation tasks are typically bound by linear constraints describing practical requirements that have to be strictly fulfilled at all times. In portfolio optimization, for example, investors may be obligated to allocate less than 30\% of the funds into a certain industrial sector in any investment period. Such constraints restrict the action space of allowed allocations in intricate ways, which makes learning a policy that avoids constraint violations difficult. In this paper, we propose a new method for constrained allocation tasks based on an autoregressive process to sequentially sample allocations for each entity. In addition, we introduce a novel de-biasing mechanism to counter the initial bias caused by sequential sampling. We demonstrate the superior performance of our approach compared to a variety of Constrained Reinforcement Learning (CRL) methods on three distinct constrained allocation tasks: portfolio optimization, computational workload distribution, and a synthetic allocation benchmark. Our code is available at: https://github.com/niklasdbs/paspo

Deep Learning-based Unsupervised Domain Adaptation via a Unified Model for Prostate Lesion Detection Using Multisite Bi-parametric MRI Datasets

Our hypothesis is that UDA using diffusion-weighted images, generated with a unified model, offers a promising and reliable strategy for enhancing the performance of supervised learning models in multi-site prostate lesion detection, especially when various b-values are present. This retrospective study included data from 5,150 patients (14,191 samples) collected across nine different imaging centers. A novel UDA method using a unified generative model was developed for multi-site PCa detection. This method translates diffusion-weighted imaging (DWI) acquisitions, including apparent diffusion coefficient (ADC) and individual DW images acquired using various b-values, to align with the style of images acquired using b-values recommended by Prostate Imaging Reporting and Data System (PI-RADS) guidelines. The generated ADC and DW images replace the original images for PCa detection. An independent set of 1,692 test cases (2,393 samples) was used for evaluation. The area under the receiver operating characteristic curve (AUC) was used as the primary metric, and statistical analysis was performed via bootstrapping. For all test cases, the AUC values for baseline SL and UDA methods were 0.73 and 0.79 (p<.001), respectively, for PI-RADS>=3, and 0.77 and 0.80 (p<.001) for PI-RADS>=4 PCa lesions. In the 361 test cases under the most unfavorable image acquisition setting, the AUC values for baseline SL and UDA were 0.49 and 0.76 (p<.001) for PI-RADS>=3, and 0.50 and 0.77 (p<.001) for PI-RADS>=4 PCa lesions. The results indicate the proposed UDA with generated images improved the performance of SL methods in multi-site PCa lesion detection across datasets with various b values, especially for images acquired with significant deviations from the PI-RADS recommended DWI protocol (e.g. with an extremely high b-value).

Simplex Decomposition for Portfolio Allocation Constraints in Reinforcement Learning

Portfolio optimization tasks describe sequential decision problems in which the investor's wealth is distributed across a set of assets. Allocation constraints are used to enforce minimal or maximal investments into particular subsets of assets to control for objectives such as limiting the portfolio's exposure to a certain sector due to environmental concerns. Although methods for constrained Reinforcement Learning (CRL) can optimize policies while considering allocation constraints, it can be observed that these general methods yield suboptimal results. In this paper, we propose a novel approach to handle allocation constraints based on a decomposition of the constraint action space into a set of unconstrained allocation problems. In particular, we examine this approach for the case of two constraints. For example, an investor may wish to invest at least a certain percentage of the portfolio into green technologies while limiting the investment in the fossil energy sector. We show that the action space of the task is equivalent to the decomposed action space, and introduce a new reinforcement learning (RL) approach CAOSD, which is built on top of the decomposition. The experimental evaluation on real-world Nasdaq-100 data demonstrates that our approach consistently outperforms state-of-the-art CRL benchmarks for portfolio optimization.