Bayesian Reinforcement Learning Machine Learning RCC 16 th June 2011.
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Transcript of Bayesian Reinforcement Learning Machine Learning RCC 16 th June 2011.
Bayesian Reinforcement Learning
Machine Learning RCC
16th June 2011
Outline
• Introduction to Reinforcement Learning
• Overview of the field
• Model-based BRL
• Model-free RL
References
• ICML-07 Tutorial– P. Poupart, M. Ghavamzadeh, Y. Engel
• Reinforcement Learning: An Introduction – Richard S. Sutton and Andrew G. Barto
Machine Learning
Unsupervised Learning
Reinforcement Learning
Supervised Learning
Definitions
State Action Reward
Policy
£££££
Reward function
Markov Decision Process
x0
a0
x1
Policy
Transition Probability
r0
a1
r1
Reward function
Value Function
Optimal Policy
• Assume one optimal action per state
Unknown
Value Iteration
Reinforcement Learning
• RL Problem: Solve MDP when reward/transition models are unknown
• Basic Idea: Use samples obtained from agent’s interaction with environment
Model-Based vs Model-Free RL
• Model-Based: Learn a model of the reward/transition dynamics and derive value function/policy
• Model-Free: Directly learn value function/policy
RL Solutions
RL Solutions
• Value Function Algorithms– Define a form for the value function– Sample state-action-reward sequence– Update value function– Extract optimal policy
• SARSA, Q-learning
RL Solutions
• Actor-Critic– Define a policy structure
(actor)– Define a value function
(critic)– Sample state-action-reward– Update both actor & critic
RL Solutions
• Policy Search Algorithm– Define a form for the policy– Sample state-action-reward sequence– Update policy
• PEGASUS– (Policy Evaluation-of-Goodness
And Search Using Scenarios)
Online - Offline
• Offline– Use a simulator– Policy fixed for each ‘episode’– Updates made at the end of episode
• Online– Directly interact with environment– Learning happens step-by-step
Model-Free Solutions
1. Prediction: Estimate V(x) or Q(x,a)
2. Control: Extract policy• On-Policy• Off-Policy
Monte-Carlo Predictions
Valu
eR
ewar
d
-13
Leave car park Get out of city Motorway Enter Cambridge
State
-90 -83 -55 -11
-15 -61 -11
Up
date
d
-100 -87 -72 -11
Temporal Difference Predictions
Valu
eR
ewar
d
-13
Leave car park Get out of city Motorway Enter Cambridge
State
-90 -83 -55 -11
-15 -61 -11
Up
date
d
-96 -70 -72 -11
Advantages of TD
• Don’t need a model of reward/transitions
• Online, fully incremental
• Proved to converge given conditions on step-size
• “Usually” faster than MC methods
From TD to TD(λ)
State
Reward
Terminal state
From TD to TD(λ)
State
Reward
Terminal state
SARSA & Q-learning
TD-Learning
SARSA Q-Learning
On-Policy
Estimate value function for
current policy
Off-Policy
Estimate value function for
optimal policy
GP Temporal Difference
xxx
xxxx
xxxx
1 2
GP Temporal Difference
xxx
xxxx
xxxx
1 2
GP Temporal Difference
GP Temporal Difference
GP Temporal Difference
GP Temporal Difference
