Reinforcement learning algorithms, though successful, tend to over-fit to training environments hampering their application to the real-world. This paper proposes WR @math L; a robust reinforcement learning algorithm with significant robust performance on low and high-dimensional control tasks. Our method formalises robust reinforcement learning as a novel min-max game with a Wasserstein constraint for a correct and convergent solver. Apart from the formulation, we also propose an efficient and scalable solver following a novel zero-order optimisation method that we believe can be useful to numerical optimisation in general. We contribute both theoretically and empirically. On the theory side, we prove that WR @math L converges to a stationary point in the general setting of continuous state and action spaces. Empirically, we demonstrate significant gains compared to standard and robust state-of-the-art algorithms on high-dimensional MuJuCo environments.
In @cite_4 a non-stationary Markov Decision Process model is considered, where the dynamics can change from one time step to another. The constraint is based on Wasserstein distance, specifically, the Wasserstein distance between dynamics at time @math and @math is bounded by @math , i.e., is @math -Lipschitz with respect to time, for some constant @math . They approach the problem by treating nature as an adversary and implement a Minimax algorithm. The basis of their algorithm is that due to the fact that the dynamics changes slowly (due to the Lipschitz constraint), a planning algorithm can project into the future the scope of possible future dynamics and plan for the worst. The resulting algorithm, known as , is - as the name implies - a tree search algorithm. It operates on a sequence snapshots'' of the evolving MDP, which are instances of the MDP at points in time. The algorithm is tested on small grid world, and does not appear to be readily extendible to the continuous state and action scenarios our algorithm addresses.
@cite_4
1512919909 2964000194 2942369252 2765892966
A critical issue for the application of Markov decision processes (MDPs) to realistic problems is how the complexity of planning scales with the size of the MDP. In stochastic environments with very large or infinite state spaces, traditional planning and reinforcement learning algorithms may be inapplicable, since their running time typically grows linearly with the state space size in the worst case. In this paper we present a new algorithm that, given only a generative model (a natural and common type of simulator) for an arbitrary MDP, performs on-line, near-optimal planning with a per-state running time that has no dependence on the number of states. The running time is exponential in the horizon time (which depends only on the discount factor γ and the desired degree of approximation to the optimal policy). Our algorithm thus provides a different complexity trade-off than classical algorithms such as value iteration—rather than scaling linearly in both horizon time and state space size, our running time trades an exponential dependence on the former in exchange for no dependence on the latter. Our algorithm is based on the idea of sparse sampling. We prove that a randomly sampled look-ahead tree that covers only a vanishing fraction of the full look-ahead tree nevertheless suffices to compute near-optimal actions from any state of an MDP. Practical implementations of the algorithm are discussed, and we draw ties to our related recent results on finding a near-best strategy from a given class of strategies in very large partially observable MDPs (Kearns, Mansour, & Ng. Neural information processing systems 13, to appear). We consider the problem of learning an unknown Markov Decision Process (MDP) that is weakly communicating in the infinite horizon setting. We propose a Thompson Sampling-based reinforcement learning algorithm with dynamic episodes (TSDE). At the beginning of each episode, the algorithm generates a sample from the posterior distribution over the unknown model parameters. It then follows the optimal stationary policy for the sampled model for the rest of the episode. The duration of each episode is dynamically determined by two stopping criteria. The first stopping criterion controls the growth rate of episode length. The second stopping criterion happens when the number of visits to any state-action pair is doubled. We establish @math bounds on expected regret under a Bayesian setting, where @math and @math are the sizes of the state and action spaces, @math is time, and @math is the bound of the span. This regret bound matches the best available bound for weakly communicating MDPs. Numerical results show it to perform better than existing algorithms for infinite horizon MDPs. This work tackles the problem of robust zero-shot planning in non-stationary stochastic environments. We study Markov Decision Processes (MDPs) evolving over time and consider Model-Based Reinforcement Learning algorithms in this setting. We make two hypotheses: 1) the environment evolves continuously and its evolution rate is bounded, 2) a current model is known at each decision epoch but not its evolution. Our contribution can be presented in four points. First, we define this specific class of MDPs that we call Non-Stationary MDPs (NSMDPs). We introduce the notion of regular evolution by making an hypothesis of Lipschitz-Continuity on the transition and reward functions w.r.t. time. Secondly, we consider a planning agent using the current model of the environment, but unaware of its future evolution. This leads us to consider a worst-case method where the environment is seen as an adversarial agent. Third, following this approach, we propose the Risk-Averse Tree-Search (RATS) algorithm. This is a zero-shot Model-Based method similar to Minimax search. Finally, we illustrate the benefits brought by RATS empirically and compare its performance with reference Model-Based algorithms. Consider the problem of approximating the optimal policy of a Markov decision process (MDP) by sampling state transitions. In contrast to existing reinforcement learning methods that are based on successive approximations to the nonlinear Bellman equation, we propose a Primal-Dual @math Learning method in light of the linear duality between the value and policy. The @math learning method is model-free and makes primal-dual updates to the policy and value vectors as new data are revealed. For infinite-horizon undiscounted Markov decision process with finite state space @math and finite action space @math , the @math learning method finds an @math -optimal policy using the following number of sample transitions @math where @math is an upper bound of mixing times across all policies and @math is a parameter characterizing the range of stationary distributions across policies. The @math learning method also applies to the computational problem of MDP where the transition probabilities and rewards are explicitly given as the input. In the case where each state transition can be sampled in @math time, the @math learning method gives a sublinear-time algorithm for solving the averaged-reward MDP.