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Reinforcement Learning Introduction

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Reinforcement LearningIntroduction

Subramanian Ramamoorthy

School of Informatics

17 January 2012

Lecturer: Subramanian (Ram) Ramamoorthy

IPAB, School of Informatics

s.ramamoorthy@ed (preferred method of contact)

Informatics Forum 1.41, x505119

Main Tutor: Majd Hawasly, M.Hawasly@sms.ed, IF 1.43

Class representative?

Mailing list: Are you on it – I will use it for announcements!

Reinforcement Learning

Lectures:

- Tuesday and Friday 12:10 - 13:00 (FH 3.D02 and AT 2.14)
Assessment: Homework/Exam 10+10% / 80%

- HW1: Out 7 Feb, Due 23 Feb
- Use MDP based methods in a robot navigation problem

- HW2: Out 6 Mar, Due 29 Mar
- POMDP version of the previous exercise

Reinforcement Learning

Tutorials (M. Hawasly, K. Etessami, M. von Rossum), tentatively:

T1 [Warm-up: Formulation, bandits] - week of 30th Jan T2 [Dyn. Prog.] - week of 6th Feb T3 [MC methods] - week of 13th Feb T4 [TD methods] - week of 27th Feb T5 [POMDP] - week of 12th Mar

- We’ll assign questions (combination of pen & paper and computational exercises) – you attempt them before sessions.
- Tutor will discuss and clarify concepts underlying exercises
- Tutorials are not assessed; gain feedback from participation

Reinforcement Learning

Webpage: www.informatics.ed.ac.uk/teaching/courses/rl

- Lecture slides will be uploaded as they become available
Readings:

- R. Sutton and A. Barto, Reinforcement Learning, MIT Press, 1998
- S. Thrun, W. Burgard, D. Fox, Probabilistic Robotics, MIT Press, 2006
- Other readings: uploaded to web page as needed
Background: Mathematics, Matlab, Exposure to machine learning?

Reinforcement Learning

- with environment
- to achieve some goal

– Cause – effect

– Action – consequences

– How to achieve goals

Reinforcement Learning

- Psychology – learning by trial and error
… actions followed by good or bad outcomes have their tendency to be reselected altered accordingly

- Selectional: try alternatives and pick good ones
- Associative: associate alternatives with particular situations

- Computational studies (e.g., credit assignment problem)
- Minsky’s SNARC, 1950
- Michie’s MENACE, BOXES, etc. 1960s

- Temporal Difference learning (Minsky, Samuel, Shannon, …)
- Driven by differences between successive estimates over time

Reinforcement Learning

- In 1970-80, many researchers, e.g., Klopf, Sutton & Barto,…, looked seriously at issues of “getting results from the environment” as opposed to supervised learning (distinction is subtle!)
- Although supervised learning methods such as backpropagation were sometimes used, emphasis was different

- Stochastic optimal control (mathematics, operations research)
- Deep roots: Hamilton-Jacobi → Bellman/Howard
- By the 1980s, people began to realize the connection between MDPs and the RL problem as above…

Reinforcement Learning

- As you can tell from the history, many ways to understand the problem – you will see this as we proceed through course
- One unifying perspective: Stochastic optimization over time
- Given (a) Environment to interact with, (b) Goal
- Formulate cost (or reward)
- Objective: Maximize rewards over time
- The catch: Reward may not be rich enough as optimization is over time – selecting entire paths
- Let us unpack this through a few application examples…

Reinforcement Learning

Reinforcement Learning

Compute corrective actions so as

to minimise a measured error

Design involves the following:

- What is a good policy for
determining the corrections?

- What performance specifications
are achievable by such systems?

Reinforcement Learning

- The Proportional-Integral-Derivative Controller Architecture
- ‘Model-free’ technique, works reasonably in simple (typically first & second order) systems

- More general: consider feedback architecture, u= - Kx
- When applied to a linear system, closed-loop dynamics:
- Using basic linear algebra, you can study dynamic properties
- e.g., choose Kto place the eigenvalues and eigenvectors of the closed-loop system

Reinforcement Learning

- Begin with the following:
- Dynamics: “Velocity” = f(State, Control)
- Cost: Integral involving State/Control squared (e.g., x’Qx)

- Basic idea: Optimal control actions correspond to a cost or value surface in an augmented state space
- Computation: What is the path equivalent of f’(x) = 0?
- In the special case of linear dynamics and quadratic cost, we can explicitly solve the resulting Ricatti equation

Reinforcement Learning

Reinforcement Learning

Main point to takeaway: notion of value surface

Reinforcement Learning

- RL has close connection to stochastic control (and OR)
- Main differences seem to arise from what is ‘given’
- Also, motivations such as adaptation
- In RL, we emphasize sample-based computation, stochastic approximation

Reinforcement Learning

- Objective: Minimize total inventory cost
- Decisions:
- How much to order?
- When to order?

Reinforcement Learning

- Cost of items
- Cost of ordering
- Cost of carrying or holding inventory
- Cost of stockouts
- Cost of safety stock (extra inventory held to help avoid stockouts)

Reinforcement Learning

- Demand is known and constant
- Lead time is known and constant
- Receipt of inventory is instantaneous
- Quantity discounts are not available
- Variable costs are limited to: ordering cost and carrying (or holding) cost
- If orders are placed at the right time, stockouts can be avoided

Reinforcement Learning

Reinforcement Learning

At optimal order quantity (Q*): Carrying cost = Ordering cost

Demand

Costs

Reinforcement Learning

- Demand is known and constant
- Lead time is known and constant
- Receipt of inventory is instantaneous
- Quantity discounts are not available
- Variable costs are limited to: ordering cost and carrying (or holding) cost
- If orders are placed at right time, stockouts can be avoided

The result may be need for a more detailed stochastic optimization.

Reinforcement Learning

[S. Singh et al., JAIR 2002]

Reinforcement Learning

- System is interacting with the user by choosing things to say
- Possible policies for things to say is huge, e.g., 242 in NJFun
Some questions:

- What is the model of dynamics?
- What is being optimized?
- How much experimentation is possible?

Reinforcement Learning

Reinforcement Learning

- Stochastic Optimization – make decisions!
Over time; may not be immediately obvious how we’re doing

- Some notion of cost/reward is implicit in problem – defining this, and constraints to defining this, are key!
- Often, we may need to work with models that can only generate sample traces from experiments

Reinforcement Learning