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MDPs and Reinforcement Learning

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MDPs and Reinforcement Learning. Overview. MDPs Reinforcement learning. Sequential decision problems. In an environment, find a sequence of actions in an uncertain environment that balance risks and rewards Markov Decision Process (MDP):

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Presentation Transcript
  • MDPs
  • Reinforcement learning
sequential decision problems
Sequential decision problems
  • In an environment, find a sequence of actions in an uncertain environment that balance risks and rewards
  • Markov Decision Process (MDP):
    • In a fully observable environment we know initial state (S0) and state transitions T(Si, Ak, Sj) = probability of reaching Sj from Si when doing Ak
    • States have a reward associated with them R(Si)
  • We can define a policy π that selects an action to perform given a state, i.e., π(Si)
  • Applying a policy leads to a history of actions
  • Goal: find policy maximizing expected utility of history
4x3 grid world1
4x3 Grid World
  • Assume R(s) = -0.04 except where marked
  • Here’s an optimal policy
4x3 grid world2
4x3 Grid World

Different default rewards produce different optimal policies

life=pain, get out quick

Life = struggle, go for +1, accept risk

Life = good, avoid exits

Life = ok, go for +1, minimize risk

finite and infinite horizons
Finite and infinite horizons
  • Finite Horizon
    • There’s a fixed time N when the game is over
    • U([s1…sn]) = U([s1…sn…sk])
    • Find a policy that takes that into account
  • Infinite Horizon
    • Game goes on forever
  • The best policy for with a finite horizon can change over time: more complicated
  • The utility of a sequence is usually additive
    • U([s0…s1]) = R(s0) + R(s1) + … R(sn)
  • But future rewards might be discounted by a factor γ
    • U([s0…s1]) = R(s0) + γ*R(s1) + γ2*R(s2)…+ γn*R(sn)
  • Using discounted rewards
    • Solves some technical difficulties with very long or infinite sequences and
    • Is psychologically realistic
value functions
Value Functions
  • The value of a state is the expected return starting from that state; depends on the agent’s policy:
  • The value of taking an action in a stateunder policy p is the expected return starting from that state, taking that action, and thereafter following p :
bellman equation for a policy p
Bellman Equation for a Policy p

The basic idea:


Or, without the expectation operator: