Reinforcement Learning Course NotesDavid Silver
Background
I started learning Reinforcement Learning 2018, and I first learn it from the book “Deep Reinforcement Learning HandsOn” by Maxim Lapan, that book tells me some high level concept of Reinforcement Learning and how to implement it by Pytorch step by step. But when I dig out more about Reinforcement Learning, I find the high level intuition is not enough, so I read the Reinforcement Learning An introduction by S.G, and following the courses Reinforcement Learning by David Silver, I got deeper understanding of RL. For the code implementation of the book and course, refer this Github repository.
Here is some of my notes when I taking the course, for some concepts and ideas that are hard to understand, I add some my own explanation and intuition on this post, and I omit some simple concepts on this note, hopefully this note will also help you to start your RL tour.
Table of contents
3. Planning by Dynamic Programming
6 Value function approximation
8.Integrating Learning and Planning
9. Exploration and Exploitation
10. Case Study: RL in Classic Games
1.Introduction
RL feature
 reward signal
 feedback delay
 sequence not i.i.d
 action affect subsequent data
Why using discount reward?
 mathematically convenient
 avoids infinite returns in cyclic Markov processes
 we are not very confident about our prediction of reward, maybe we we only confident about some near future steps.
 human shows preference for immediate reward
 it is sometimes possible to use undiscounted reward
2.MDP
In MDP, reward is action reward, not state reward! \(R_s^a=E[R_{t+1}S_t=s,A_t=a]\) Bellman Optimality Equation is nonlinear , so we solve it by iteration methods.
3. Planning by Dynamic Programming
planning(clearly know the MDP(model) and try to find optimal policy)
prediction: given of MDP and policy, you output the value function(policy evaluation)
control: given MDP, output optimal value function and optimal policy(solving MDP)

policy evaluation

policy iteration

policy evaluation(k steps to converge)

policy improvement
if we iterate policy once and once again and the MDP we already know, we will finally get the optimal policy(proved). so the policy iteration solve the MDP.


value iteration

value update (1 step policy evaluation)

policy improvement(one step greedy based on updated value)
iterate this also solve the MDP

asynchronous dynamic programming
 inplace dynamic programming(update the old value with new value immediately, not wait for all states new value)
 prioritized sweeping(based on value iteration error)
 realtime dynamic programming(run the game)
4. modelfree prediction
modelfree by sample
MonteCarlo learning
every update of MonteCarlo learning must have full episode

FirstVisit MonteCarlo policy evaluation
just run the agent following the policy the first time that state s is visited in an episode and do following calculation \(N(s)\gets N(s)+1 \\ S(s)\gets S(s)+G_t \\ V(s)=S(s)/N(s) \\ V(s)\to v_\pi \quad as \quad N(s) \to \infty\)

EveryVisit MonteCarlo policy evaluation
just run the agent following the policy the every time(maybe there is a loop, a state can be visited more than one time) that state s is visited in an episode
Incremental mean \(\begin{align} \mu_k &= \frac{1}{k}\sum_{j=1}^k x_j \\ &=\frac{1}{k}(x_k + \sum_{j=1}^{k1} x_j) \\ &= \frac{1}{k}(x_k + (k1)\mu_{k1}) \\ &= \mu_{k1}+\frac{1}{k}(x_k  \mu_{k1}) \end{align}\)
so by the incremental mean: \(N(S_t)\gets N(S_t)+1 \\ V(S_t)\gets V(S_t)+\frac{1}{N_t}(G_tv(S_t)) \\\) In nonstationary problem, it can be useful to track a running mean, i.e. forget old episodes. \(V(S_t)\gets V(S_t)+\alpha(G_tV(S_t))\)
TemporalDifference Learning
learn form incomplete episodes, it gauss the reward. \(V(S_t)\gets V(S_t)+\alpha(G_tV(S_t)) \\ V(s_t)\gets V(S_t)+\alpha(R_{t+1}+\gamma V(S_{t+1})  V(S_t))\) TD target: $G_t=R_{t+1}+\gamma V(S_{t+1})$ TD(0)
TD error: $\delta_t = R_{t+1}+\gamma V(S_{t+1}) V(S_t)$
TD($\lambda$)—balance between MC and TD
Let TD target look $n$ steps into the future, if $n$ is very large and the episode is terminal, then it’s MonteCarlo \(\begin{align} G_t^{(n)}&=R_{t+1}+\gamma R_{t+2}+ ... + \gamma^{n1} R_{t+n} + \gamma^nV(S_{t+n}) \\ V(S_t)&\gets V(S_t)+\alpha(G_tV(S_t)) \end{align}\) Averaging nstep returns—forward TD($\lambda$) \(\begin{align} G_t^{\lambda} &= (1\lambda)\sum_{n=1}^\infty \lambda^{n1} G_t^{(n)} \\ V(S_t)&\gets V(S_t)+\alpha(G_t^\lambdaV(S_t)) \end{align}\) Eligibility traces, combine frequency heuristic and recency heuristic \(\begin{align} E_0(s) &= 0 \\ E_t(s) &= \gamma \lambda E_{t1}(s) + 1(S_t=s) \end{align}\) TD($\lambda$)—TD(0) and $\lambda$ decayed Eligibility traces —backward TD($\lambda$) \(\begin{align} \delta_t &= R_{t+1}+\gamma V(S_{t+1}) V(S_t) \\ V(s) &\gets V(s)+\alpha \delta_tE_t(s) \end{align}\) if the updates are offline (means in one episode, we always use the old value), then the sum of forward TD($\lambda$) is identical to the backward TD($\lambda$) \(\sum_{t=1}^T \alpha \delta_t E_t(s) = \sum_{t=1}^T \alpha(G_t^\lambda  V(S_t))1(S_t=s)\)
5 Modelfree control
$\epsilongreedy$ policy add exploration to make sure we are improving our policy and explore the ervironment.
On policy MonteCarlo control
for every episode:
 policy evaluation: MonteCarlo policy evaluation $Q\approx q_\pi $
 policy improvement: $\epsilongreedy$ policy improvement based on $Q(s,a)$
Greedy in the limit with infinite exploration (GLIE) will find optimal solution.
GLIE MonteCarlo control
for the $k$th episode, set $\epsilon \gets 1/k$ , finally $\epsilon_k$ reduce to zero, and it will get the optimal policy.
Onpolicy TD learning
Sarsa \(Q(S,A) \gets Q(S,A)+\alpha (R+ \gamma Q(S',A')Q(S,A))\) OnPolicy Sarsa:
for every timestep:
 policy evaluation: Sarsa, $Q\approx q_\pi $
 policy improvement: $\epsilongreedy$ policy improvement based on $Q(s,a)$
forward nstep Sarsa —>Sarsa($\lambda$) just like TD($\lambda$)
Eligibility traces: \(\begin{align} E_0(s,a) &= 0 \\ E_t(s,a) &= \gamma \lambda E_{t1}(s,a) + 1(S_t=s,A_t=a) \end{align}\) backward Sarsa($\lambda$) by adding eligibility traces
and every time step for all $(s,a)$ do following: \(\begin{align} \delta_t &= R_{t+1}+\gamma Q(S_{t+1},A_{t+1}) Q(S_t,A_t) \\ Q(s,a) &\gets Q(s,a)+\alpha \delta_tE_t(s,a) \end{align}\)
The intuition of this that the current state action pair reward and value influence all other state action pairs, but it will influence the most frequent and recent pair more. and the $\lambda$ shows how much current influence others. if you only use one step Sarsa, every you get reward, it only update one state action pair, so it is slower. For more, refer Gridworld example on course5.
Offpolicy learning
Importance sampling
\[\begin{align} E_{X~\sim P}[f(X)] &= \sum P(X)f(X) \\ &=\sum Q(X) \frac{P(X)}{Q(X)} f(X) &= E_{X ~\sim Q}\left[\frac{P(X)}{Q(X)} f(X)\right] \end{align}\]Importance sampling for offpolicy TD \(V(s_t) \gets V(S_t) + \alpha \left(\frac{\pi(A_tS_t)}{\mu(A_tS_t)}(R_{t+1}+\gamma V(S_{t+1})V(s_t)\right)\)
Qlearning
Next action is chosen using behavior policy(the true behavior) $A_{t+1} ~\sim \mu(.  S_t)$ 
but consider alternative successor action(our target policy) $A’ \sim \pi(.S_t)$ \(Q(S,A) \gets Q(S,A)+\alpha (R_{t+1} + \gamma Q(S_{t+1},A')Q(S,A))\)
Here has something may hard to understand, so I explain it. no matter what action we actually do(behave) next, we just update Q according our target policy action, so finally we got the Q of target policy $\pi$.
Offpolicy control with QLearning

the target policy is greedy w.r.t Q(s,a) \(\pi(S_{t+1})=\underset{a'}{\arg\max} Q(S_{t+1},a)\)

the behavior policy $\mu$ is e.g. $\epsilon greedy$ w.r.t. Q(s,a) or maybe some totally random policy, it doesn’t matter for us since it is offpolicy, and we only evaluate Q on $\pi$.
and Qlearning will converges to the optimal actionvalue function $Q(s,a) \to q_*(s,a)$
Qlearning can be used in offpolicy learning, but it also can be used in onpolicy learning!
For onpolicy, if you using $\epsilon greedy$ policy update, Sarsa is a good onpolicy method, but you use Qlearning is fine since $\epsilon greedy$ is similar to max Q policy, so you can make sure you explore most of policy action, so it is also efficient.
6 Value function approximation
Before this lecture, we talk about tabular learning since we have to maintain a Q table or value table etc.
Introduction
why
 state space is large
 continuous state space
Value function approximation
\[\begin{align} \hat{v}(s,\pmb{w}) &\approx v_\pi(s) \\ \hat{q}(s,a,\pmb{w})&\approx q_\pi(s,a) \end{align}\]Approximator
 nonstationary (state values are changing since policy is changinng)
 noni.i.d. (sample according policy)
Incremental method
Basic SGD for Value function approximation
 Stochastic Gradient descent
 feature vectors

linear value function approximation \(\begin{align} \hat{v}(S,\pmb{w}) &= \pmb{x}(S)^T \pmb{w} = \sum_{j=1}^n \pmb{x}_j(S) \pmb{w}_j\\ J(\pmb {w}) &= E_\pi\left[(v_\pi(S)\hat{v}(S,\pmb{w}))^2\right] \\ \Delta\pmb{w}&=\frac{1}{2} \alpha \Delta_w J(\pmb{w}) \\ &=\alpha E_\pi \left[(v_\pi(S)\hat{v}(S,\pmb{w})) \Delta_{\pmb{w}}\hat{v}(S,\pmb{w})\right] \\ \Delta\pmb{w}&=\alpha (v_\pi(S)\hat{v}(S,\pmb{w})) \Delta_{\pmb{w}}\hat{v}(S,\pmb{w}) \\ & = \alpha (v_\pi(S)\hat{v}(S,\pmb{w}))\pmb{x}(S) \end{align}\)

Table lookup feature
\[x(S) = \begin{pmatrix} 1(S=s_1)\\ \vdots \\ 1(S=s_n) \end{pmatrix}\\ \hat{v}(S,w) = \begin{pmatrix} 1(S=s_1)\\ \vdots \\ 1(S=s_n) \end{pmatrix}.\begin{pmatrix} w_1\\ \vdots \\ w_n \end{pmatrix}\]table lookup is a special case of linear value function approximation, where w is the value of individual state.
Incremental prediction algorithms
How to supervise?

For MC, the target is the return $G_t$ \(\Delta w = \alpha (G_t\hat{v}(S_t,\pmb w))\Delta_w \hat{v}(S_t,w)\)

For TD(0), the target is the TD target $R_{t+1} + \gamma \hat{v}(S_{t+1},\pmb{w})$ \(\Delta w = \alpha (R_{t+1} + \gamma \hat{v}(S_{t+1},\pmb{w})\hat{v}(S_t,\pmb w))\Delta_w \hat{v}(S_t,w)\)
here should notice that the TD target also has $\hat{v}(S_{t+1},\pmb{w})$, it contains w, but we do not calculate gradient of it, we just trust target at each time step, we only look forward, rather than look forward and backward at the same time. Otherwise it can not converge.

For $TD(\lambda)$ , the target is $\lambdareturn G_t^\lambda$ $$ \begin{align} \Delta\pmb{w} &= \alpha (G_t^\lambda\hat{v}(S_t,\pmb w))\Delta_w \hat{v}(S_t,w) \
\end{align} \(for backward view of Linear $TD(\lambda)$:\) \begin{align} \delta_t&= R_{t+1} + \gamma \hat{v}(S_{t+1},\pmb{w})\hat{v}(S_t,\pmb{w})
E_t &= \gamma \lambda E_{t1} +\pmb{x}(S_t)
\Delta \pmb{w}&=\alpha \delta_t E_t \end{align} $$here, unlike $E_t(s) = \gamma \lambda E_{t1}(s) + 1(S_t=s)$ , we put $x(S_t)$ in $E_t$, so we don’t need remember all previous $x(S_t)$, note that in Linear TD, $\Delta \hat{v}(S_t,\pmb{w})$ is $x(S_t)$.
here the eligibility traces is the state features, so the most recent state(state feature) have more weight, unlike TD(0), this is update all previous states simultaneously and the weight of state decayed by $\lambda$.
Control with value function approximation
policy evaluation: approximate policy evaluation, $\hat{q}(.,.,\pmb{w}) \approx q_\pi$
policy improvement: $\epsilon  greedy$ policy improvement.
Actionvalue function approximation \(\begin{align} \hat{q}(S,A,\pmb{w}) &\approx q_\pi(S,A)\\ J(\pmb {w}) &= E_\pi\left[(q_\pi(S,A)\hat{q}(S,A,\pmb{w}))^2\right] \\ \Delta\pmb{w}&=\frac{1}{2} \alpha \Delta_w J(\pmb{w}) \\ &=\alpha (q_\pi(S,A)\hat{q}(S,A,\pmb{w}))\Delta_{\pmb{w}}\hat{q}(S,A,\pmb{w}) \end{align}\) Linear Actionvalue function approximation \(\begin{align}x(S,A) &= \begin{pmatrix} x_1(S,A)\\ \vdots \\ x_n(S,A) \end{pmatrix} \\ \hat{q}(S,A,\pmb{w}) &= \pmb{x}(S,A)^T \pmb{w} = \sum_{j=1}^n \pmb{x}_j(S,A) \pmb{w}_j\\ \Delta\pmb{w}&=\alpha (q_\pi(S,A)\hat{q}(S,A,\pmb{w}))x(S,A) \end{align}\) The target is similar as value update, I’m lazy and do not write it down, you can refer it on book.
TD is not guarantee converge
convergence of gradient TD learning
Convergence of Control Algorithms
Batch reinforcement learning
motivation: try to fit the experiences
 given value function approximation $\hat{v}(s,\pmb{w} \approx v_\pi(s))$
 experience$\mathcal{D} $ consisting of$\langle state,value \rangle$ pairs:
 Least squares minimizing sumsquares error \(\begin{align} LS(\pmb{w})&=\sum_{t=1}^T(v_t^\pi \hat{v}(s_t,\pmb{w}))^2 \\ &=\mathbb{E}_\mathcal{D}\left[(v^\pi\hat{v}(s,\pmb{w}))^2\right] \end{align}\)
SGD with experience replay(decorrelate states)

sample state, vale form experience \(\langle s,v^\pi\rangle \sim \mathcal{D}\)

apply SGD update
Then converge to least squares solution
DQN (experience replay + Fixed Qtargets)(offpolicy)

Take action $a_t$ according to $\epsilon  greedy$ policy to get experience $(s_t,a_t,r_{t+1},s_{t+1})$ store in $\mathcal{D}$

Sample random minibatch of transitions $(s,s,r,s’)$

compute Qlearning targets w.r.t. old, fixed parameters $w^$

optimize MSE between Qnetwork and Qlearning targets. \(\mathcal{L}_i(\mathrm{w}_i) = \mathbb{E}_{s,a,r,s' \sim \mathcal{D}_i}\left[\left(r+\gamma \max_{a'} Q(s',a';\mathrm{w^})Q(s,a,;\mathrm{w}_i)\right)^2\right]\)

using SGD update
Onlinear Qlearning hard to converge, so why DQN converge?
 experience replay decorrelate state make it more like i.i.d.
 Fixed Qtargets make it stable
Least square evaluation
if the approximation function is linear and the feature space is small, we can solve the policy evaluation by least square directly.
 policy evaluation: evaluation by least squares Qlearning
 policy improvement: greedy policy improvement.
7 Policy gradient methods
Introduction
policybased reinforcement learning
directly parametrize the policy \(\pi_\theta(s,a) = \mathcal(P)[as,\theta]\) advantages:
 better convergence properties
 effective in highdimensional or continuous action spaces
 can learn stochastic policies
disadvantages:
 converge to a local rather then global optimum
 evaluating a policy is typically inefficient and high variance
policy gradient
Let $J(\theta)$ be policy objective function
find local maximum of policy objective function(value of policy) \(\Delta \theta = \alpha \Delta_\theta J(\theta)\) where $\Delta_\theta J(\theta)$ is the policy gradient \(\Delta_\theta J(\theta) = \begin{pmatrix} \frac{\partial J(\theta)}{\partial\theta_1 } \\ \vdots \\ \frac{\partial J(\theta)}{\partial\theta_n } \end{pmatrix}\) Score function trick \(\begin{align} \Delta_\theta\pi(s,a) &= \pi_\theta \frac{\Delta_\theta(s,a)}{\pi_\theta(s,a)} \\ &=\pi_\theta(s,a)\Delta_\theta \log\pi_\theta(s,a) \end{align}\) The score function is $\Delta_\theta \log\pi_\theta(s,a)$
policy
 Softmax policy for discrete actions
 Gaussian policy for continuous action spaces
for onestep MDPs apply score function trick \(\begin{align} J(\theta) & = \mathbb{E}_{\pi_\theta}[r] \\ & = \sum_{s\in \mathcal{S}} d(s) \sum _{a\in \mathcal{A}} \pi_\theta(s,a)\mathcal{R}_{s,a}\\ \Delta J(\theta) & = \sum_{s\in \mathcal{S}} d(s) \sum _{a\in \mathcal{A}} \pi_\theta(s,a)\Delta_\theta\log\pi_\theta(s,a)\mathcal{R}_{s,a} \\ & = \mathbb{E}_{\pi_\theta}[\Delta_\theta\log\pi_\theta(s,a)r] \end{align}\)
Policy gradient theorem
the policy gradient is \(\Delta_\theta J(\theta)= \mathbb{E}_{\pi_\theta}[\Delta_\theta\log\pi_\theta(s,a)Q^{\pi_\theta}(s,a)]\)
MonteCarlo policy gradient(REINFORCE)
using return $v_t$ as an unbiased sample of $Q^{\pi_\theta}(s_t,a_t)$ \(\Delta\theta_t = \alpha\Delta_\theta\log\pi_\theta(s,a)v_t\\ v_t = G_t = r_{t+1}+\gamma r_{t+2}+\gamma^3 r_{t+3}...\) pseudo code
function REINFORCE Initialize $\theta$ arbitrarily
for each episode $ { s_1,a_1,r_2,…,s_{T1},a_{T1},R_T } \sim \pi_\theta$ do
for $t=1$ to $T1$ do
$\theta \gets \theta+\alpha\Delta_\theta\log\pi_\theta(s,a)v_t$
end for
end for
return $\theta$
end function
REINFORCE has the high variance problem, since it get $v_t$ by sampling.
ActorCritic policy gradient
Idea
use a critic to estimate the actionvalue function \(Q_w(s,a) \approx Q^{\pi_\theta}(s,a)\) ActorCritic algorithm follow an approximate policy gradient \(\Delta_\theta J(\theta) \approx \mathbb{E}_{\pi_\theta}[\Delta_\theta\log\pi_\theta(s,a)Q_w(s,a)] \\ \Delta \theta= \alpha \Delta_\theta\log\pi_\theta(s,a)Q_w(s,a)\)
Action value actorCritic
Using linear value fn approx. $Q_w(s,a) = \phi(s,a)^Tw$
 Critic Updates w by TD(0)
 Actor Updates $\theta$ by policy gradient
function QAC Initialize $s, \theta$
Sample $a \sim \pi_\theta$
for each step do
Sample reward $r=\mathcal{R}_s^a$; sample transition $s’ \sim \mathcal{P}_s^a$,.
Sample action $a’ \sim \pi_\theta(s’,a’)$
$\delta = r + \gamma Q_w(s’,a’) Q_w(s,a)$
$\theta = \theta + \alpha \Delta_\theta \log \pi_\theta(s,a) Q_w(s,a)$
$w \gets w+\beta \delta\phi(s,a)$
$a \gets a’, s\gets s’$
end for
end function
So it seems that Valuebased learning is a spacial case of actorcritic, since the greedy function based on Q is one spacial case of policy gradient, when we set the policy gradient step size very large, then the probability of the action which max Q will close to 1, and the others will close to 0, that is what greedy means.
Reducing variance using a baseline

Subtract a baseline function $B(s)$ from the policy gradient

This can reduce variance, without changing expectation \(\begin{align} \mathbb{E}_{\pi_\theta} [\Delta_\theta \log \pi_\theta(s,a)B(s)] &= \sum_{s \in \mathcal{S}}d^{\pi_\theta}(s)\sum_a \Delta_\theta \pi_\theta(s,a)B(s)\\ &= \sum_{s \in \mathcal{S}}d^{\pi_\theta}(s)B(s)\Delta_\theta \sum_{a\in \mathcal{A}} \pi_\theta(s,a)\\ & = \sum_{s \in \mathcal{S}}d^{\pi_\theta}(s)B(s)\Delta_\theta (1) \\ &=0 \end{align}\)

a good baseline is the state value function $B(s) = V^{\pi_\theta}(s)$

So we can rewrite the policy gradient using the advantage function $A^{\pi_\theta}(s,a)$ \(A^{\pi_\theta}(s,a) = Q^{\pi_\theta}(s,a)  V^{\pi_\theta}(s) \\ \Delta_\theta J(\theta) = \mathbb{E}_{\pi_\theta}[\Delta_\theta \log \pi_\theta(s,a)A^{\pi_\theta}(s,a)]\)
Actually, by using advantage function, we get rid of the variance between states, and it will make our policy network more stable.
So how to estimate the advantage function? you can using two network to estimate Q and V respectively, but it is more complicated. More commonly used is by bootstrapping.
 TD error

TD error is an unbiased estimate(sample) of the advantage function \(\begin{align} \mathbb{E}_{\pi_\theta} & = \mathbb{E}_{\pi_\theta}[r + \gamma V^{\pi_\theta}(s')s,a]  V^{\pi_\theta}(s) \\ & = Q^{\pi_\theta}(s,a)V^{\pi_\theta}(s) \\ & = A^{\pi_\theta}(s,a) \end{align}\)

So \(\Delta_\theta J(\theta) = \mathbb{E}_{\pi_\theta}[\Delta_\theta \log \pi_\theta(s,a)\delta^{\pi_\theta}]\)

In practice, we can use an approximate TD error for one step \(\delta_v = r + \gamma V_v(s')V_v(s)\)

this approach only requires one set of critic parameters for v.
For Critic, we can plug in previous used methods in value approximation, such as MC, TD(0),TD($\lambda$) and TD($\lambda$) with eligibility traces.

MC policy gradient, $\mathrm{v}_t$ is the true MC return. \(\Delta \theta = \alpha(\mathrm{v}_t  V_v(s_t))\Delta_\theta \log \pi_\theta(s_t,a_t)\)

TD(0) \(\Delta \theta = \alpha(r + \gamma V_v(s_{t+1})V_v(s_t))\Delta_\theta \log \pi_\theta(s_t,a_t)\)

TD($\lambda$) \(\Delta \theta = \alpha(\mathrm{v}_t^\lambda + \gamma V_v(s_{t+1})V_v(s_t))\Delta_\theta \log \pi_\theta(s_t,a_t)\)

TD($\lambda$) with eligibility traces (backwardview) \(\begin{align} \delta & = r_{t+1} + \gamma V_V(s_{t+1}) V_v(s_t) \\ e_{t+1} &= \lambda e_t + \Delta_\theta\log \pi_\theta(s,a) \\ \Delta \theta&= \alpha \theta e_t \end{align}\)
For continuous action space, we use Gauss to represent our policy, but Gauss is noisy, so it’s better to use deterministic policy(by just picking the mean) to reduce noise and make it easy to converge. This turns out the deterministic policy gradient(DPG) algorithm.
Deterministic policy gradient(offpolicy)
Deterministic policy: \(a_t = \mu(s_t\theta^\mu)\) Q network parametrize by $\theta^Q$ ,the distribution of states under behavior policy is $\rho^\beta$ \(\begin{align} L(\theta^Q) &= \mathbb{E}_{s_t \sim \rho^\beta, a_t \sim \beta,r_t\sim E}[(Q(s_t,a_t\theta^Q)y_t)^2] \\ y_t & = r(s_t,a_t)+\gamma Q(s_{t+1},\mu(s_{t+1})\theta^Q) \end{align}\) policy network parametrize by $\theta^\mu$ \(\begin{align} J(\theta^\mu) & = \mathbb{E}_{s \sim \rho^\beta}[Q(s,a \theta^Q)_{s=s_t,a=\mu(s_t\theta^\mu)}] \\ \Delta_{\theta^\mu}J &\approx \mathbb{E}_{s \sim \rho^\beta}[\Delta_{\theta_\mu} Q(s,a \theta^Q)_{s=s_t,a=\mu(s_t\theta^\mu)}] \\ & = \mathbb{E}_{s \sim \rho^\beta}[\Delta Q(s,a \theta^Q_{s=s_t,a=\mu(s_t)}\Delta_{\theta_\mu}\mu(s\theta^\mu)s=s_t] \end{align}\) to make training more stable, we use target network for both critic network and actor network, and update them by soft update: \(soft\; update\left\{ \begin{aligned} \theta^{Q'} & \gets \tau\theta^Q+(1\tau)\theta^{Q'} \\ \theta^{\mu'} & \gets \tau\theta^\mu+(1\tau)\theta^{\mu'} \\ \end{aligned} \right.\) and we set $\tau$ very small to update parameters smoothly, e.g. $\tau = 0.001$.
In addition, we add some noise to deterministic action when we are exploring the environment to get experience. \(\mu'(s_t) = \mu(s_t\theta_t^\mu)+\mathcal{N}_t\) where $\mathcal{N}$ is the noise, it can be chosen to suit the environment, e.g. OrnsteinUhlenbeck noise.
8.Integrating Learning and Planning
Introduction
modelfree RL
 no model
 Learn value function(and or policy) from experience
modelbased RL
 learn a model from experience
 plan value function(and or policy) from model
Model $\mathcal{M} = \langle \mathcal{P}\eta, \mathcal{R}\eta \rangle$ \(S_{t+1} \sim \mathcal{P}_\eta(s_{t+1}s_t,A_t) \\ R_{t+1} = \mathcal{R}_\eta(R_{t+1}s_t,A_t)\) Model learning from experience ${S_1,A_1,R_2,…,S_T}$ bu supervised learning \(S_1, A_1 \to R_2, S_2 \\ S_2, A_2 \to R_3, S_3 \\ \vdots \\ S_{T1}, A_{T1} \to R_T, S_T\)
 $s,a \to r$ is a regression problem
 $s,s \to s’$ is a density estimation problem
Planning with a model
Samplebased planning
 sample experience from model
 apply modelfree RL to samples
 MonteCarlo control
 Sarsa
 Qlearning
Performance of modelbased RL is limited to optimal policy for approximate MDP
Integrated architectures
Integrating learning and planning—–Dyna
 Learning a model from real experience
 Learn and plan value function (and/or policy) from real and simulated experience
SimulationBased Search
 Forward search select the best action by lookahead
 build a search tree withe the current state $s_t$ at the root
 solve the subMDP starting from now
SimulationBased Search
 Simulate episodes of experience for now with the model
 Apply modelfree RL to simulated episodes
 MonteCarlo control $\to$ MonteCarlo search
 Sarsa $\to$ TD search
Sample MonteCarlo search

Given a model $\mathcal{M}_v$ and a simulation policy $\pi$

For each action $a \in \mathcal{A}$

Simulate K episodes from current(real) state $s_t$ \(\{s_t,a,R_{t+1}^k,S_{t+1}^k,A_{t+1}^k,...,s_T^k\}_{k=1}^K \sim \mathcal{M}_v,\pi\)

Evaluate action by mean return(MonteCarlo evaluation)


Select current(real) action with maximum value \(a_t = \underset{a \in \mathcal{A}}{\arg\max} Q(S_{t},a)\)
MonteCarlo tree search

Given a model $\mathcal{M}_v$

Simulate K episodes from current(real) state $s_t$ using current simulation policy $\pi$ \(\{s_t,A_t^k,R_{t+1}^k,S_{t+1}^k,A_{t+1}^k,...,s_T^k\}_{k=1}^K \sim \mathcal{M}_v,\pi\)

Build a search tree containing visited states and actions

Evaluate states Q(s,a) by mean return of episodes from s,a \(Q(s_t,a) = \frac{1}{N(s,a)}\sum_{k=1}^K \sum_{u=t}^T \mathbf{1}(s_u,A_u = s,a) G_u \overset{\text{P}}{\to} q_\pi(s_t,a)\)

After search is finished, select current(real) action with maximum value in search tree \(a_t = \underset{a \in \mathcal{A}}{\arg\max} Q(S_{t},a)\)

Each simulation consist of two phases(intree, outoftree)
 Tree policy(improves): pick actions to maximise Q(s,a)
 Default policy(fixed): pick action randomly
Here we update Q on the whole subtree, not only the current state. And after every episode of searching, we improve the policy based on the new update value, then start a new searching. With the searching progress, we exploit on the direction which is more promise to success since we keep updating our searching policy to that direction. In addition, we also need to explore a little bit the other direction, so we can apply MCTS with which action has the max Upper Confidence Bound(UCT) , that is idea of AlphaZero.
TemporalDifference Search
e.g. update by Sarsa \(\Delta Q(S,A) = \alpha (R+\gamma Q(S',A') Q(S,A))\) and you can also use a function approximation for simulated Q.
Dyna2
 longterm memory(real experience)—TD learning
 Shortterm(working) memory(simulated experience)—TD search & TD learning
9. Exploration and Exploitation
way to exploration
 random exploration
 use Gaussian noise in continuous action space
 $\epsilon  greedy$, random on $\epsilon$ probability
 Softmax, select on action policy distribution
 optimism in the face of uncertainty———prefer to explore state/actions with highest uncertainty
 Optimistic Initialization
 UCB
 Thompson sampling
 Information state space
 Gittins indices
 Bayesadaptive MDPS
Stateaction exploration vs. parameter exploration
Multiarm bandit
Total regret \(\begin{align} L_t &= \mathbb{E}\left[\sum_{\tau=1}^t V^*Q(a_\tau)\right] \\ & \sum_{a \in \mathcal{A}}\mathbb{E}[N_t(a)](V^*Q(a)) \\ &=\sum_{a \in \mathcal{A}}\mathbb{E}[N_t(a)]\Delta a \end{align}\) Optimistic Initialization
 initialize Q(a) to high value
 Then act greedily
 turns out linear regret
$\epsilon  greedy$
 turns out linear regret
decay $\epsilon  greedy$
 sublinear regret(need know gaps), if you tune it very well and find it just on the gap, it is good, otherwise, it maybe bad.
the regret has a low bound, it is a log bound
The performance of any algorithm is determined by similarity between optimal arm and other arms \(\lim_{t \to \infty}L_t \ge \log t\sum_{a\Delta a>0} \frac{\Delta a}{KL(\mathcal{R}^a\mathcal{R}^{a_*})}\)
Optimism in the Face of Uncertainty
Upper Confidence Bounds(UCB)

Estimate an upper confidence $U_t(a)$ for each action value

Such that $q(a) \leq Q_t(a)+U_t(a)$ with high probability

The upper confidence depend on the number of times N(s) has been sampled

Select action maximizing Upper Confidence Bounds(UCB) \(A_t =\underset{a \in \mathcal{A}}{\arg\max} [Q(S_{t},a)+U_t(a)]\)
Theorem(Hoeffding’s Inequality)
let $x_1,…,X_t$ be i.i.d. random variables in[0,1], and let $\overline{X} = \frac{1}{\tau}\sum_{\tau=1}^tX_\tau$ be the sample mean. Then \(\mathbb{P}[\mathbb{E}[X]> \overline{X}_t+u] \leq e^{2tu^2}\)
we apply the Hoeffding’s Inequality to rewards of the bandit conditioned on selecting action a \(\mathbb{P}[ Q(a)> Q(a)+U_t(a)] \leq e^{2N_t(a)U_t(a)^2}\)

Pack a probability p that true value exceeds UCB

Then solve for $U_t(a)$ \(\begin{align} e^{2N_t(a)U_t(a)^2} = p \\ \\ U_t(a)=\sqrt{\frac{\log p}{2N_t(a)}} \end{align}\)

Reduce p as we observe more rewards, e.g. $p = t^{4}$ \(U_t(a)=\sqrt{\frac{2\log t}{N_t(a)}}\)

Make sure we select optimal action as $t \to \infty$
This leads to the UCB1 algorithm \(A_t =\underset{a \in \mathcal{A}}{\arg\max} \left[Q(S_{t},a)+\sqrt{\frac{2\log t}{N_t(a)}}\right]\) The UCB algorithm achieves logarithmic asymptotic total regret \(\lim_{t\to\infty}L_t \leq 8\log t\sum_{a\Delta>0}\Delta a\) Bayesian Bandits
Probability matching—Thompson sampling—optimal for one sample, but may not good for MDP.
Solving Information State Space Bandits—MDP
define MDP on information state space
MDP
UCB \(A_t =\underset{a \in \mathcal{A}}{\arg\max} [Q(S_{t},a)+U_t(S_t,a)]\) RMax algorithm
10. Case Study: RL in Classic Games
TBA.
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