Minimum-Delay Adaptation in Non-Stationary Reinforcement Learning via Online High-Confidence Change-Point Detection

• URL: http://arxiv.org/abs/2105.09452v1
• Date: Thu, 20 May 2021 01:57:52 GMT
• Title: Minimum-Delay Adaptation in Non-Stationary Reinforcement Learning via Online High-Confidence Change-Point Detection
• Authors: Lucas N. Alegre, Ana L. C. Bazzan, Bruno C. da Silva
• Abstract summary: We introduce an algorithm that efficiently learns policies in non-stationary environments. It analyzes a possibly infinite stream of data and computes, in real-time, high-confidence change-point detection statistics. We show that (i) this algorithm minimizes the delay until unforeseen changes to a context are detected, thereby allowing for rapid responses.
• Score: 7.685002911021767
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Non-stationary environments are challenging for reinforcement learning algorithms. If the state transition and/or reward functions change based on latent factors, the agent is effectively tasked with optimizing a behavior that maximizes performance over a possibly infinite random sequence of Markov Decision Processes (MDPs), each of which drawn from some unknown distribution. We call each such MDP a context. Most related works make strong assumptions such as knowledge about the distribution over contexts, the existence of pre-training phases, or a priori knowledge about the number, sequence, or boundaries between contexts. We introduce an algorithm that efficiently learns policies in non-stationary environments. It analyzes a possibly infinite stream of data and computes, in real-time, high-confidence change-point detection statistics that reflect whether novel, specialized policies need to be created and deployed to tackle novel contexts, or whether previously-optimized ones might be reused. We show that (i) this algorithm minimizes the delay until unforeseen changes to a context are detected, thereby allowing for rapid responses; and (ii) it bounds the rate of false alarm, which is important in order to minimize regret. Our method constructs a mixture model composed of a (possibly infinite) ensemble of probabilistic dynamics predictors that model the different modes of the distribution over underlying latent MDPs. We evaluate our algorithm on high-dimensional continuous reinforcement learning problems and show that it outperforms state-of-the-art (model-free and model-based) RL algorithms, as well as state-of-the-art meta-learning methods specially designed to deal with non-stationarity.

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