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The backwards induction method due to Bellman~\cite{bellman1952theory} is a popular approach to solving problems in optimiztion, optimal control, and many other areas of applied math. In this paper we analyze the backwords induction approach, under min/max conditions. We show that if the value function is has strictly positive derivatives of order 1-4 then the optimal strategy for the adversary is Brownian motion. Using that fact we analyze different potential functions and show that the Normal-Hedge potential is optimal.

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We prove two theorems related to the Central Limit Theorem (CLT) for Martin-L\"of Random (MLR) sequences. Martin-L\"of randomness attempts to capture what it means for a sequence of bits to be "truly random". By contrast, CLTs do not make assertions about the behavior of a single random sequence, but only on the distributional behavior of a sequence of random variables. Semantically, we usually interpret CLTs as assertions about the collective behavior of infinitely many sequences. Yet, our intuition is that if a sequence of bits is "truly random", then it should provide a "source of randomness" for which CLT-type results should hold. We tackle this difficulty by using a sampling scheme that generates an infinite number of samples from a single binary sequence. We show that when we apply this scheme to a Martin-L\"of random sequence, the empirical moments and cumulative density functions (CDF) of these samples tend to their corresponding counterparts for the normal distribution. We also prove the well known almost sure central limit theorem (ASCLT), which provides an alternative, albeit less intuitive, answer to this question. Both results are also generalized for Schnorr random sequences.

Most modern deep reinforcement learning (RL) algorithms are motivated by either the general policy improvement (GPI) or trust-region learning (TRL) frameworks. However, algorithms that strictly respect these theoretical frameworks have proven unscalable. Surprisingly, the only known scalable algorithms violate the GPI/TRL assumptions, e.g. due to required regularisation or other heuristics. The current explanation of their empirical success is essentially by "analogy": they are deemed approximate adaptations of theoretically sound methods. Unfortunately, studies have shown that in practice these algorithms differ greatly from their conceptual ancestors. In contrast, in this paper, we introduce a novel theoretical framework, named Mirror Learning, which provides theoretical guarantees to a large class of algorithms, including TRPO and PPO. While the latter two exploit the flexibility of our framework, GPI and TRL fit in merely as pathologically restrictive or impractical corner cases thereof. This suggests that the empirical performance of state-of-the-art methods is a direct consequence of their theoretical properties, rather than of aforementioned approximate analogies. Mirror learning sets us free to boldly explore novel, theoretically sound RL algorithms, a thus far uncharted wonderland.

In reinforcement learning, it is common to let an agent interact for a fixed amount of time with its environment before resetting it and repeating the process in a series of episodes. The task that the agent has to learn can either be to maximize its performance over (i) that fixed period, or (ii) an indefinite period where time limits are only used during training to diversify experience. In this paper, we provide a formal account for how time limits could effectively be handled in each of the two cases and explain why not doing so can cause state aliasing and invalidation of experience replay, leading to suboptimal policies and training instability. In case (i), we argue that the terminations due to time limits are in fact part of the environment, and thus a notion of the remaining time should be included as part of the agent's input to avoid violation of the Markov property. In case (ii), the time limits are not part of the environment and are only used to facilitate learning. We argue that this insight should be incorporated by bootstrapping from the value of the state at the end of each partial episode. For both cases, we illustrate empirically the significance of our considerations in improving the performance and stability of existing reinforcement learning algorithms, showing state-of-the-art results on several control tasks.

Reinforcement learning (RL) applications, where an agent can simply learn optimal behaviors by interacting with the environment, are quickly gaining tremendous success in a wide variety of applications from controlling simple pendulums to complex data centers. However, setting the right hyperparameters can have a huge impact on the deployed solution performance and reliability in the inference models, produced via RL, used for decision-making. Hyperparameter search itself is a laborious process that requires many iterations and computationally expensive to find the best settings that produce the best neural network architectures. In comparison to other neural network architectures, deep RL has not witnessed much hyperparameter tuning, due to its algorithm complexity and simulation platforms needed. In this paper, we propose a distributed variable-length genetic algorithm framework to systematically tune hyperparameters for various RL applications, improving training time and robustness of the architecture, via evolution. We demonstrate the scalability of our approach on many RL problems (from simple gyms to complex applications) and compared with Bayesian approach. Our results show that with more generations, optimal solutions that require fewer training episodes and are computationally cheap while being more robust for deployment. Our results are imperative to advance deep reinforcement learning controllers for real-world problems.

This manuscript portrays optimization as a process. In many practical applications the environment is so complex that it is infeasible to lay out a comprehensive theoretical model and use classical algorithmic theory and mathematical optimization. It is necessary as well as beneficial to take a robust approach, by applying an optimization method that learns as one goes along, learning from experience as more aspects of the problem are observed. This view of optimization as a process has become prominent in varied fields and has led to some spectacular success in modeling and systems that are now part of our daily lives.

The Q-learning algorithm is known to be affected by the maximization bias, i.e. the systematic overestimation of action values, an important issue that has recently received renewed attention. Double Q-learning has been proposed as an efficient algorithm to mitigate this bias. However, this comes at the price of an underestimation of action values, in addition to increased memory requirements and a slower convergence. In this paper, we introduce a new way to address the maximization bias in the form of a "self-correcting algorithm" for approximating the maximum of an expected value. Our method balances the overestimation of the single estimator used in conventional Q-learning and the underestimation of the double estimator used in Double Q-learning. Applying this strategy to Q-learning results in Self-correcting Q-learning. We show theoretically that this new algorithm enjoys the same convergence guarantees as Q-learning while being more accurate. Empirically, it performs better than Double Q-learning in domains with rewards of high variance, and it even attains faster convergence than Q-learning in domains with rewards of zero or low variance. These advantages transfer to a Deep Q Network implementation that we call Self-correcting DQN and which outperforms regular DQN and Double DQN on several tasks in the Atari 2600 domain.

We consider the problem of knowledge transfer when an agent is facing a series of Reinforcement Learning (RL) tasks. We introduce a novel metric between Markov Decision Processes and establish that close MDPs have close optimal value functions. Formally, the optimal value functions are Lipschitz continuous with respect to the tasks space. These theoretical results lead us to a value transfer method for Lifelong RL, which we use to build a PAC-MDP algorithm with improved convergence rate. We illustrate the benefits of the method in Lifelong RL experiments.

Existing multi-agent reinforcement learning methods are limited typically to a small number of agents. When the agent number increases largely, the learning becomes intractable due to the curse of the dimensionality and the exponential growth of agent interactions. In this paper, we present Mean Field Reinforcement Learning where the interactions within the population of agents are approximated by those between a single agent and the average effect from the overall population or neighboring agents; the interplay between the two entities is mutually reinforced: the learning of the individual agent's optimal policy depends on the dynamics of the population, while the dynamics of the population change according to the collective patterns of the individual policies. We develop practical mean field Q-learning and mean field Actor-Critic algorithms and analyze the convergence of the solution to Nash equilibrium. Experiments on Gaussian squeeze, Ising model, and battle games justify the learning effectiveness of our mean field approaches. In addition, we report the first result to solve the Ising model via model-free reinforcement learning methods.

We consider the multi-agent reinforcement learning setting with imperfect information in which each agent is trying to maximize its own utility. The reward function depends on the hidden state (or goal) of both agents, so the agents must infer the other players' hidden goals from their observed behavior in order to solve the tasks. We propose a new approach for learning in these domains: Self Other-Modeling (SOM), in which an agent uses its own policy to predict the other agent's actions and update its belief of their hidden state in an online manner. We evaluate this approach on three different tasks and show that the agents are able to learn better policies using their estimate of the other players' hidden states, in both cooperative and adversarial settings.

This paper presents a safety-aware learning framework that employs an adaptive model learning method together with barrier certificates for systems with possibly nonstationary agent dynamics. To extract the dynamic structure of the model, we use a sparse optimization technique, and the resulting model will be used in combination with control barrier certificates which constrain feedback controllers only when safety is about to be violated. Under some mild assumptions, solutions to the constrained feedback-controller optimization are guaranteed to be globally optimal, and the monotonic improvement of a feedback controller is thus ensured. In addition, we reformulate the (action-)value function approximation to make any kernel-based nonlinear function estimation method applicable. We then employ a state-of-the-art kernel adaptive filtering technique for the (action-)value function approximation. The resulting framework is verified experimentally on a brushbot, whose dynamics is unknown and highly complex.

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