The unit commitment (UC) problem, which determines operating schedules of generation units to meet demand, is a fundamental task in power systems operation. Existing UC methods using mixed-integer programming are not well-suited to highly stochastic systems. Approaches which more rigorously account for uncertainty could yield large reductions in operating costs by reducing spinning reserve requirements; operating power stations at higher efficiencies; and integrating greater volumes of variable renewables. A promising approach to solving the UC problem is reinforcement learning (RL), a methodology for optimal decision-making which has been used to conquer long-standing grand challenges in artificial intelligence. This thesis explores the application of RL to the UC problem and addresses challenges including robustness under uncertainty; generalisability across multiple problem instances; and scaling to larger power systems than previously studied. To tackle these issues, we develop guided tree search, a novel methodology combining model-free RL and model-based planning. The UC problem is formalised as a Markov decision process and we develop an open-source environment based on real data from Great Britain's power system to train RL agents. In problems of up to 100 generators, guided tree search is shown to be competitive with deterministic UC methods, reducing operating costs by up to 1.4\%. An advantage of RL is that the framework can be easily extended to incorporate considerations important to power systems operators such as robustness to generator failure, wind curtailment or carbon prices. When generator outages are considered, guided tree search saves over 2\% in operating costs as compared with methods using conventional $N-x$ reserve criteria.
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Traffic signal control is safety-critical for our daily life. Roughly one-quarter of road accidents in the U.S. happen at intersections due to problematic signal timing, urging the development of safety-oriented intersection control. However, existing studies on adaptive traffic signal control using reinforcement learning technologies have focused mainly on minimizing traffic delay but neglecting the potential exposure to unsafe conditions. We, for the first time, incorporate road safety standards as enforcement to ensure the safety of existing reinforcement learning methods, aiming toward operating intersections with zero collisions. We have proposed a safety-enhanced residual reinforcement learning method (SafeLight) and employed multiple optimization techniques, such as multi-objective loss function and reward shaping for better knowledge integration. Extensive experiments are conducted using both synthetic and real-world benchmark datasets. Results show that our method can significantly reduce collisions while increasing traffic mobility.
In this paper, we start with a variation of the star cover problem called the Two-Squirrel problem. Given a set $P$ of $2n$ points in the plane, and two sites $c_1$ and $c_2$, compute two $n$-stars $S_1$ and $S_2$ centered at $c_1$ and $c_2$ respectively such that the maximum weight of $S_1$ and $S_2$ is minimized. This problem is strongly NP-hard by a reduction from Equal-size Set-Partition with Rationals. Then we consider two variations of the Two-Squirrel problem, namely the Two-MST and Two-TSP problem, which are both NP-hard. The NP-hardness for the latter is obvious while the former needs a non-trivial reduction from Equal-size Set-Partition with Rationals. In terms of approximation algorithms, for Two-MST and Two-TSP we give factor 3.6402 and $4+\varepsilon$ approximations respectively. Finally, we also show some interesting polynomial-time solvable cases for Two-MST.
A wide spectrum of design and decision problems, including parameter tuning, A/B testing and drug design, intrinsically are instances of black-box optimization. Bayesian optimization (BO) is a powerful tool that models and optimizes such expensive "black-box" functions. However, at the beginning of optimization, vanilla Bayesian optimization methods often suffer from slow convergence issue due to inaccurate modeling based on few trials. To address this issue, researchers in the BO community propose to incorporate the spirit of transfer learning to accelerate optimization process, which could borrow strength from the past tasks (source tasks) to accelerate the current optimization problem (target task). This survey paper first summarizes transfer learning methods for Bayesian optimization from four perspectives: initial points design, search space design, surrogate model, and acquisition function. Then it highlights its methodological aspects and technical details for each approach. Finally, it showcases a wide range of applications and proposes promising future directions.
While Reinforcement Learning (RL) achieves tremendous success in sequential decision-making problems of many domains, it still faces key challenges of data inefficiency and the lack of interpretability. Interestingly, many researchers have leveraged insights from the causality literature recently, bringing forth flourishing works to unify the merits of causality and address well the challenges from RL. As such, it is of great necessity and significance to collate these Causal Reinforcement Learning (CRL) works, offer a review of CRL methods, and investigate the potential functionality from causality toward RL. In particular, we divide existing CRL approaches into two categories according to whether their causality-based information is given in advance or not. We further analyze each category in terms of the formalization of different models, ranging from the Markov Decision Process (MDP), Partially Observed Markov Decision Process (POMDP), Multi-Arm Bandits (MAB), and Dynamic Treatment Regime (DTR). Moreover, we summarize the evaluation matrices and open sources while we discuss emerging applications, along with promising prospects for the future development of CRL.
Cooperative multi-agent reinforcement learning (MARL) requires agents to explore to learn to cooperate. Existing value-based MARL algorithms commonly rely on random exploration, such as $\epsilon$-greedy, which is inefficient in discovering multi-agent cooperation. Additionally, the environment in MARL appears non-stationary to any individual agent due to the simultaneous training of other agents, leading to highly variant and thus unstable optimisation signals. In this work, we propose ensemble value functions for multi-agent exploration (EMAX), a general framework to extend any value-based MARL algorithm. EMAX trains ensembles of value functions for each agent to address the key challenges of exploration and non-stationarity: (1) The uncertainty of value estimates across the ensemble is used in a UCB policy to guide the exploration of agents to parts of the environment which require cooperation. (2) Average value estimates across the ensemble serve as target values. These targets exhibit lower variance compared to commonly applied target networks and we show that they lead to more stable gradients during the optimisation. We instantiate three value-based MARL algorithms with EMAX, independent DQN, VDN and QMIX, and evaluate them in 21 tasks across four environments. Using ensembles of five value functions, EMAX improves sample efficiency and final evaluation returns of these algorithms by 54%, 55%, and 844%, respectively, averaged all 21 tasks.
Switching costs, which capture the costs for changing policies, are regarded as a critical metric in reinforcement learning (RL), in addition to the standard metric of losses (or rewards). However, existing studies on switching costs (with a coefficient $\beta$ that is strictly positive and is independent of $T$) have mainly focused on static RL, where the loss distribution is assumed to be fixed during the learning process, and thus practical scenarios where the loss distribution could be non-stationary or even adversarial are not considered. While adversarial RL better models this type of practical scenarios, an open problem remains: how to develop a provably efficient algorithm for adversarial RL with switching costs? This paper makes the first effort towards solving this problem. First, we provide a regret lower-bound that shows that the regret of any algorithm must be larger than $\tilde{\Omega}( ( H S A )^{1/3} T^{2/3} )$, where $T$, $S$, $A$ and $H$ are the number of episodes, states, actions and layers in each episode, respectively. Our lower bound indicates that, due to the fundamental challenge of switching costs in adversarial RL, the best achieved regret (whose dependency on $T$ is $\tilde{O}(\sqrt{T})$) in static RL with switching costs (as well as adversarial RL without switching costs) is no longer achievable. Moreover, we propose two novel switching-reduced algorithms with regrets that match our lower bound when the transition function is known, and match our lower bound within a small factor of $\tilde{O}( H^{1/3} )$ when the transition function is unknown. Our regret analysis demonstrates the near-optimal performance of them.
Graph mining tasks arise from many different application domains, ranging from social networks, transportation, E-commerce, etc., which have been receiving great attention from the theoretical and algorithm design communities in recent years, and there has been some pioneering work using the hotly researched reinforcement learning (RL) techniques to address graph data mining tasks. However, these graph mining algorithms and RL models are dispersed in different research areas, which makes it hard to compare different algorithms with each other. In this survey, we provide a comprehensive overview of RL models and graph mining and generalize these algorithms to Graph Reinforcement Learning (GRL) as a unified formulation. We further discuss the applications of GRL methods across various domains and summarize the method description, open-source codes, and benchmark datasets of GRL methods. Finally, we propose possible important directions and challenges to be solved in the future. This is the latest work on a comprehensive survey of GRL literature, and this work provides a global view for researchers as well as a learning resource for researchers outside the domain. In addition, we create an online open-source for both interested researchers who want to enter this rapidly developing domain and experts who would like to compare GRL methods.
The rapid changes in the finance industry due to the increasing amount of data have revolutionized the techniques on data processing and data analysis and brought new theoretical and computational challenges. In contrast to classical stochastic control theory and other analytical approaches for solving financial decision-making problems that heavily reply on model assumptions, new developments from reinforcement learning (RL) are able to make full use of the large amount of financial data with fewer model assumptions and to improve decisions in complex financial environments. This survey paper aims to review the recent developments and use of RL approaches in finance. We give an introduction to Markov decision processes, which is the setting for many of the commonly used RL approaches. Various algorithms are then introduced with a focus on value and policy based methods that do not require any model assumptions. Connections are made with neural networks to extend the framework to encompass deep RL algorithms. Our survey concludes by discussing the application of these RL algorithms in a variety of decision-making problems in finance, including optimal execution, portfolio optimization, option pricing and hedging, market making, smart order routing, and robo-advising.
Large-scale pre-trained models (PTMs) such as BERT and GPT have recently achieved great success and become a milestone in the field of artificial intelligence (AI). Owing to sophisticated pre-training objectives and huge model parameters, large-scale PTMs can effectively capture knowledge from massive labeled and unlabeled data. By storing knowledge into huge parameters and fine-tuning on specific tasks, the rich knowledge implicitly encoded in huge parameters can benefit a variety of downstream tasks, which has been extensively demonstrated via experimental verification and empirical analysis. It is now the consensus of the AI community to adopt PTMs as backbone for downstream tasks rather than learning models from scratch. In this paper, we take a deep look into the history of pre-training, especially its special relation with transfer learning and self-supervised learning, to reveal the crucial position of PTMs in the AI development spectrum. Further, we comprehensively review the latest breakthroughs of PTMs. These breakthroughs are driven by the surge of computational power and the increasing availability of data, towards four important directions: designing effective architectures, utilizing rich contexts, improving computational efficiency, and conducting interpretation and theoretical analysis. Finally, we discuss a series of open problems and research directions of PTMs, and hope our view can inspire and advance the future study of PTMs.
This paper surveys the field of transfer learning in the problem setting of Reinforcement Learning (RL). RL has been the key solution to sequential decision-making problems. Along with the fast advance of RL in various domains. including robotics and game-playing, transfer learning arises as an important technique to assist RL by leveraging and transferring external expertise to boost the learning process. In this survey, we review the central issues of transfer learning in the RL domain, providing a systematic categorization of its state-of-the-art techniques. We analyze their goals, methodologies, applications, and the RL frameworks under which these transfer learning techniques would be approachable. We discuss the relationship between transfer learning and other relevant topics from an RL perspective and also explore the potential challenges as well as future development directions for transfer learning in RL.
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