Publication
Automatica
Paper

Reinforcement learning with algorithms from probabilistic structure estimation

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Abstract

Reinforcement learning (RL) algorithms aim to learn optimal decisions in unknown environments through the experience of taking actions and observing the rewards gained. In some cases, the environment is not influenced by the actions of the RL agent, in which case the problem can be modeled as a contextual multi-armed bandit, and lightweight myopic algorithms can be employed. On the other hand, when the RL agent’s actions affect the environment, the problem must be modeled as a Markov decision process, and more complex RL algorithms are required, which take the future effects of actions into account. Moreover, in practice, it is often unknown from the outset whether or not the agent’s actions will impact the environment, and it is therefore not possible to determine which RL algorithm is most fitting. In this work, we propose to avoid this difficult decision entirely and incorporate a choice mechanism into our RL framework. Rather than assuming a specific problem structure, we use a probabilistic structure estimation procedure based on a likelihood-ratio (LR) test to make a more informed selection of the learning algorithm. We derive a sufficient condition under which myopic policies are optimal, present an LR test for this condition, and derive a bound on the regret of our framework. We provide examples of real-world scenarios where our framework is needed and provide extensive simulations to validate our approach.