Title: Introduction to Reinforcement Learning
1Introduction to Reinforcement Learning
- Gerry Tesauro
- IBM T.J.Watson Research Center
- http//www.research.ibm.com/infoecon
http//www.research.ibm.com/massdist
2Outline
- Statement of the problem
- What RL is all about
- How its different from supervised learning
- Mathematical Foundations
- Markov Decision Problem (MDP) framework
- Dynamic Programming Value Iteration, ...
- Temporal Difference (TD) and Q Learning
- Applications Combining RL and function
approximation
3Acknowledgement
- Lecture material shamelessly adapted from R. S.
Sutton and A. G. Barto, Reinforcement Learning - Book published by MIT Press, 1998
- Available on the web at RichSutton.com
- Many slides shamelessly stolen from web site
4Basic RL Framework
- 1. Learning with evaluative feedback
- Learners output is scored by a scalar signal
(Reward or Payoff function) saying how well
it did - Supervised learning Learner is told the correct
answer! - May need to try different outputs just to see how
well they score (exploration )
55
66
7Basic RL Framework
- 2. Learning to Act Learning to manipulate the
environment - Supervised learning is passive Learner doesnt
affect the distribution of exemplars or the class
labels
88
9Basic RL Framework
- Learner has to figure out which action is best,
and which actions lead to which states. Might
have to try all actions! ? - Exploration vs. Exploitation when to try a
wrong action vs. sticking to the best action
10Basic RL Framework
- 3. Learning Through Time
- Reward is delayed (Act now, reap the reward
later) - Agent may take long sequence of actions before
receiving reward - Temporal Credit Assignment Problem Given
sequence of actions and rewards, how to assign
credit/blame for each action?
1111
1212
1313
14- Agents objective is to maximize expected value
of return R sum of future rewards - ? is a discount parameter (0 ? ? ? 1)
- Example Cart-Pole Balancing Problem
- reward -1 at failure, else 0
- expected return -?k for k
steps to failure - reward maximized by making
k? ?
15- We consider non-deterministic environments
- Action at in state st ?
- Probability distribution of rewards rt1
- Probability distribution of new states st1
- Some environments have nice property
distributions are history-independent and
stationary. These are called Markov environments
and the agents task is a Markov Decision
Problem (MDP)
16- An MDP specification consists of
- list of states s ? S
- list of legal action set A(s) for every s
- set of transition probabilities for every s,a,s
- set of expected rewards for every s,a,s
17- Given an MDP specification
- Agent learns a policy ?
- deterministic policy ? (s) action to take in
state s - non-deterministic policy ? (s,a) probability of
choosing action a in state s - Agents objective is to learn the policy that
maximizes expected value of return Rt - Value Function associated with a policy tells
us how good the policy is. Two types of value
functions ...
18- State-Value Function V? (s) Expected return
starting in state s and following policy ? - Action-Value Function Q? (s,a) Expected return
starting from action a in state s, and then
following policy ?
19Bellman Equation for a Policy ?
- The basic idea
- Apply expectation for state s under policy ?
- A linear system of equations for V? unique
solution
20 2121
22Why V, Q are useful
- Any policy ? that is greedy w.r.t. V or Q is an
optimal policy ?. - One-step lookahead using V
- Zero-step lookahead using Q
23Two methods to solve for V, Q
- Policy improvement given a policy ?, find a
better policy ?. - Policy Iteration Keep repeating above and
ultimately you will get to ?. - Value Iteration Directly solve Bellmans
optimality equation, without explicitly writing
down the policy.
24Policy Improvement
- Evaluate the policy given ?, compute V? (s) and
Q? (s,a) (from linear Bellman equations). - For every state s, construct new policy do the
best initial action, and then follow policy ?
thereafter. - The new policy is greedy w.r.t. Q? (s,a) and V?
(s) - ? V? (s) ? V? (s)
- ? ? ? ? in our partial ordering.
25Policy Improvement, contd.
- What if the new policy has the same value as the
old policy? ( V? (s) V? (s) for all s) - But this is the Bellman Optimality equation if
V? solves it, then it must be the optimal value
function V.
2626
27Value Iteration
- Use the Bellman Optimality equation
- to define an iterative bootstrap
calculation - This is guaranteed to converge to a unique V
(backup is a contraction mapping)
28Summary of DP methods
- Guaranteed to converge to ? in polynomial time
(in size of state space) in practice often
faster than linear - The method of choice if you can do it.
- Why it might not be doable
- your problem is not an MDP
- the transition probs and rewards
are unknown or too hard to specify - Bellmans curse of dimensionality
the state space is too big (gtgt O(106)
states) - RL may be useful in these cases
29Monte Carlo Methods
- Estimate V? (s) by sampling
- perform a trial run the policy starting from s
until termination state reached measure actual
return Rt - N trials average Rt accurate to 1/sqrt(N)
- no bootstrapping not using V(s) to estimate
V(s) - Two important advantages of Monte Carlo
- Can learn online without a model of the
environment - Can learn in a simulated environment
3030
31Temporal Difference Learning
- Error signal difference between current estimate
and improved estimate drives change of current
estimate - Supervised learning error
- error(x) target_output(x) - learner_output(x)
- Bellman error (DP)
- 1-step full-width lookahead - 0-step
lookahead - Monte Carlo error
- error(s) ltRt gt - V(s)
- many-step sample lookahead - 0-step lookahead
32TD error signal
- Temporal Difference Error Signal take one step
using current policy, observe r and s, then - 1-step sample lookahead - 0-step lookahead
- In particular, for undiscounted sequences with no
intermediate rewards, we have simply - Self-consistent prediction goal predicted
returns should be self-consistent from one time
step to the next (true of both TD and DP)
33- Learning using the Error Signal we could just do
a reassignment - But its often a good idea to learn
incrementally - where ? is a small learning rate parameter
(either constant, or decreases with time) - the above algorithm is known as TD(0)
convergence to be discussed later...
34Advantages of TD Learning
- Combines the bootstrapping (1-step
self-consistency) idea of DP with the sampling
idea of MC maybe the best of both worlds - Like MC, doesnt need a model of the environment,
only experience - TD, but not MC, can be fully incremental
- you can learn before knowing the final outcome
- you can learn without the final outcome (from
incomplete sequences) - Bootstrapping ? TD has reduced variance compared
to Monte Carlo, but possibly greater bias
3535
3636
3737
3838
39The point of the ? parameter
- (My view) ? in TD(?) is a knob to twiddle
provides a smooth interpolation between ?0 (pure
TD) and ?1 (pure MC) - For many toy grid-world type problems, can show
that intermediate values of ? work best. - For real-world problems, best ? will be highly
problem-dependent.
40Convergence of TD (?)
- TD(?) converges to the correct value function
V? (s) with probability 1 for all ?. Requires - lookup table representation (V(s) is a table),
- must visit all states an infinite of times,
- a certain schedule for decreasing ? (t).
(Usually ? (t) 1/t) - BUT TD(?) converges only for a fixed policy.
What if we want to learn ? as well as V? We
still have more work to do ...
41Q-Learning TD Idea to Learn ?
- Q-Learning (Watkins, 1989) one-step sample
backup to learn action-value function Q(s,a).
The most important RL algorithm in use today.
Uses one-step error - to define an incremental learning algorithm
- where ?(t) follows same schedule as in TD
algorithm.
42Nice properties of Q-learning
- Q guaranteed to converge to Q w/probability 1.
- Greedy
guaranteed to converge to ?. - But (amazingly), dont need to follow a fixed
policy, or the greedy policy, during learning!
Virtually any policy will do, as long as all
(s,a) pairs visited infinitely often. - As with TD, dont need a model, can learn online,
both bootstraps and samples.
43RL and Function Approximation
- DP infeasible for many real applications due to
curse of dimensionality S too big. - FA may provide a way to lift the curse
- complexity D of FA needed to capture regularity
in environment may be ltlt S. - no need to sweep thru entire state space train
on N plausible samples and then generalize to
similar samples drawn from the same distribution. - PAC learning tells us generalization error D/N
? N need only scale linearly with
D.
44RL Gradient Parameter Training
- Recall incremental training of lookup tables
- If instead V(s) V? (s), adjust ? to reduce MSE
(R-V(s))2 by gradient descent
45- Example TD(?) training of neural networks
(episodic ?1 and intermediate r 0) -
46Case-Study Applications
- Several commonalities
- Problems are more-or-less MDPs
- S is enormous ? cant do DP
- State-space representation critical use of
features based on domain knowledge - FA is reasonably simple (linear or NN)
- Train in a simulator! Need lots of experience,
but still ltlt S - Only visit plausible states only generalize to
plausible states
4747
48Learning backgammon using TD(?)
- Neural net observes a sequence of input patterns
x1, x2, x3, , xf sequence of board positions
occurring during a game - Representation Raw board description ( of White
or Black checkers at each location) using simple
truncated unary encoding. (hand-crafted
features added in later versions) - At final position xf, reward signal z given
- z 1 if White wins
- z 0 if Black wins
- Train neural net using gradient version of TD(?)
- Trained NN output Vt V (xt , w) should estimate
prob (White wins xt )
4949
50Q Who makes the moves??
- A Let neural net make the moves itself, using
its current evaluator score all legal moves, and
pick max Vt for White, or min Vt for Black. - Hopelessly non-theoretical and crazy
- Training V? using non-stationary ? (no
convergence proof) - Training V? using nonlinear func. approx. (no
cvg. proof) - Random initial weights ? Random initial play!
Extremely long sequence of random moves and
random outcome ? Learning seems hopeless to a
human observer - But what the heck, lets just try and see what
happens...
51- TD-Gammon can teach itself by playing games
against itself and learning from the outcome - Works even starting from random initial play and
zero initial expert knowledge (surprising!) ?
achieves strong intermediate play - add hand-crafted features advanced level of play
(1991) - 2-ply search strong master play (1993)
- 3-ply search superhuman play (1998)
- TD-Leaf
n-step TD backups in 2-player -
games (Beal Baxter et al.) great results -
for checkers and chess
52RL Success Stories/Videos
- U. Michigan RL wiki page
- keep-away in Robocup simulator
- Aibo fast walk gate ball acquisition
- Humanoid robot Air hockey
- Helicopter aerobatics (Ng et al.)
- Human flies helicopter for 10-20 mins
- Perform System Identification learn model of
helicopter dynamics - Using model, train RL policy in simulator
53Cell-phone channel allocation
- S. Singh and D. Bertsekas, NIPS-96
- Dynamic resource allocation assign channels to
calls in a cell cant interfere with neighboring
cell - Problem is a real-time discrete-event MDP with
huge state space 7049 states - Objective maximize
54Modified Bellman optimality equation
- Modify equation to handle continuous time,
discrete events - where s configuration, erandom event
(arrival, handoff, departure) aaction, ?trandom
time to next event, c(s,a, ?t) effective
immediate payoff
55- represent s?x using 2 features for each cell
- Availability of free channels in a cell
- Cell-channel packing of times channel is used
in 4-cell radius - represent V using linear FA V ??x
- train in simulator using gradient version of
TD(0)
54
56RL training results (BDCLbest prev. algo.)
55
5756
5857
5958
6059
6160
6261
6362
6463
6564
66RL for Spoken Dialogue Systems
- Singh, Litman, Kearns, Walker (JAIR 2002)
- Sequence of human-computer speech interactions
- Use in DB-query system NJFun database of
leisure activities in NJ, organized by (type,
location, time) - Humans arent MDPs, but pretend they are devise
MDP representation of system-human interaction
67- Severely restrict state space 7 state variables
and 42 choice-state combinations
68- Severely restrict the policy 2 actions possible
in each choice-state ? 242 possible
policies train using random exploration - Actions are spoken requests to the user,
classified as - system initiative Please state the type of
activity you are interested in - user initative How may I help you?
- mixed initiative Please say the location you
are interested in. You can also tell me the
time. - confirmation of an attribute Did you say you
are interested in going to a museum? - Train on a corpus of 311 dialogues (using ATT
volunteers) test trained system on 124 test
dialogues. Reward after each dialogue is both
objective (was the specific task completed
exactly or partially) as well as subjective
(good, bad, or so-so performance) from the
human - Small MDP but dont have a model! ? Do Q-Learning
using sample trajectories with the above
random-exploration policy
69- Results Learned policy much better than random
exploration
70- Results Learned policy much better than standard
policies
7170
72RL Mashups
- RL semi-supervised learning
- RL active learning
- RL metric learning
- RL dimensionality reduction
- Bayesian RL
- RL SVMs/kernel methods
- RL semi-definite programming
- RL Gaussian process models
- etc. etc.
- NIPS 2006 workshop Towards A New Reinforcement
Learning www.jan-peters.net/Research/NIPS2006
73Final remarks on RL
- Can solve MDPs on-line, in real environment,
without knowing underlying MDP - Function Approximators can avoid the curse of
dimensionality - Beyond MDPs active research in RL for
- high-level planning,
- structured (e.g. factored, hierarchical) MDPs,
- partially observable MDPs (POMDPs),
- history dependent problems,
- non-stationary problems,
- multi-agent problems
- For more info, go to RichSutton.com
74Game Theory and Multi-Agent Learning
75Outline
- Description of the problem
- Tools and concepts from RL game theory
- Naïve approaches to multi-agent learning
- ordinary single-agent RL
- evolutionary game theory
- Sophisticated approaches
- minimax-Q, FriendOrFoe-Q (Littman),
- tinkering with learning rates WoLF (Bowling),
strategic teaching (Camerer) - Challenges and Opportunities
76Normal single-agent learning
- Assume that environment has observable states,
characterizable expected rewards and state
transitions, and all of the above is stationary
(MDP-ish) - Non-learning, theoretical solution to fully
specified problem DP formalism - Learning solve by trial and error without a full
specification RL exploration, Monte Carlo, ...
77Multi-Agent Learning Problem
- Agent tries to solve its learning problem, while
other agents in the environment also are trying
to solve their own learning problems. ?
challenging non-stationarity. - Main scenarios (1) cooperative (2)
self-interest (many deep issues swept under the
rug) - Agent may know very little about other agents
- payoffs may be unknown
- learning algorithms unknown
- Traditional method of solution game theory (uses
several questionable assumptions)
78MAL needs foundational principles!
- A precise problem formulation is still lacking!
See If Multi-Agent Learning is the Answer, What
is the Question? Shoham et al, 2006 - Some (debatable) MAL objectives
- Learning should converge to a stationary strategy
- In self-play learning (all agents use same
learning algorithm), learners should jointly
converge to an equilibrium strategy - Learning should achieve payoffs as good as a
best-response to other agents strategies - (Worst case bound) Learning should guarantee a
minimum payoff (security payment, no-regret
property)
79Game Theory
- Provides essential theoretical/conceptual
background for tackling multi-agent learning - Wikipedia definition
- Game theory is most often described as a branch
of applied mathematics and economics that studies
situations where players choose different actions
in an attempt to maximize their returns. The
essential feature, however, is that it provides a
formal modelling approach to social situations in
which decision makers interact with other minds. - Today, widely used in politics, business,
economics, biology, psychology, computer science
etc.
80Fundamental Postulate of Game Theory
Rationality
- A rational player/agent will make decisions that
maximize her individual expected utility (
expected payoff for simplicity) given her
understanding/beliefs about the problem. Also,
perfectly indifferent to payoffs received by
other players.
81Basics of game theory
- A game is specified by players (1N), actions,
and (expected) payoff matrices (functions of
joint actions) -
Bs action - As action
- As payoff
Bs payoff - If payoff matrices are identical, A and B are
cooperative, else non-cooperative (zero-sum
purely competitive)
82Basic lingo(2)
- Games with no states (bi)-matrix games
- Games with states stochastic games, Markov
games (state transitions are functions of joint
actions) - Games with simultaneous moves normal form
- Games with alternating turns extensive form
- No. of rounds 1 one-shot game
- No. of rounds gt 1 repeated game
- deterministic action policy pure strategy
- non-deterministic action policy mixed strategy
e.g. Prob(R,P,S) (½,¼,¼)
83Stochastic vs. Matrix Games
- A stochastic game (a.k.a. Markov game )
generalizes MDPs to multiple agents - finite state space S
- joint action set
- stationary reward distribution
- stationary transition probabilities
- A matrix game has no state information, only
joint actions and payoffs (S 1) -
84Basic Analysis
- Agent is mixed strategy xi is a best-response to
others x-i if it maximizes payoff given x-i - xi is a dominant strategy if it maximizes payoff
regardless of what others do - A joint strategy x is an equilibrium if each
agents strategy is simultaneously a
best-response to everyone elses strategy, i.e.
no incentive to deviate. Nash equilibrium is the
main one, but there are others (e.g. correlated
equilibrium) - A Nash equilibrium always exists, but may be
exponentially many of them, and very hard to
compute - equilibrium coordination (players agree on which
eqm to choose) is a big problem
85What about imperfect information games?
- Nash eqm. requires full observability of all game
info. For imperfect info. games (e.g. each
player has private info), corresponding concept
is Bayes-Nash equilibrium (Nash plus Bayesian
inference over hidden information). Even more
intractable than regular Nash.
86Pros and Cons of game theory
- Game theory provides a basic conceptual/theoretica
l framework for thinking about multi-agent
learning. - Game theory is appropriate provided that
- Game is stationary and fully specified
X - Enough computer power to compute equilibrium
X - Can assume other agents are also game theorists
X - Can solve equilibrium coordination problem.
X - Above conditions rarely hold in real applications
- Multi-agent learning is not only a fascinating
problem, it may be the only viable option.
87Real-Life vs. Game Theory games
- NFL playoffs
- World Series of Poker
- World of Warcraft
- Buying a house
- Salary negotiations
- Competitive pricing
- Best Buy vs. Circuit City
- Airline fare wars
- OPEC production cuts
- NASDAQ, NYSE,
- FCC spectrum auctions
- Matching Pennies
- Rock-Paper-Scissors
- Prisoners Dilemma
- Battle-of-the-Sexes
- Chicken
- Ultimatum
88Assumptions in Normal-Form Games
- Game specification is fully known actions and
payoffs are fully observable by all players - Players act simultaneously, i.e. without
observing actions of others (not scalable!) - Assume no communication between players, or it
doesnt affect play (communication is cheap
talk) - Basic analysis assumes the game is only played
once (called one-shot)
89Presentation of Rock Paper Scissors Payoffs in a
Bimatrix
- This is a zero-sum game since for each pair of
joint actions, the players payoffs add up to
zero. - This is a symmetric game invariant under
swapping of player labels - This game has a unique mixed strategy Nash
equilibrium both players play uniform random
strategies prob(R,P,S)(1/3,1/3,1/3)
90Prisoners Dilemma Game
91Prisoners Dilemma Game
Whatever Prisoner 2 does, the best that Prisoner
1 can do is Confess
92Prisoners Dilemma Game
Whatever Prisoner 1 does, the best that Prisoner
2 can do is Confess.
93Prisoners Dilemma Game
A strategy is a dominant strategy if it is a
players strictly best response to any strategies
the other players might pick. A dominant strategy
equilibrium is a strategy combination consisting
of each players dominant strategy.
Each player has a dominant strategy to
Confess. The dominant strategy equilibrium is
(Confess,Confess)
94Prisoners Dilemma Game
The payoff in the dominant strategy equilibrium
(-8,-8) is worse for both players than (-1,-1),
the payoff in the case that both players hold
out. Thus, the Prisoners Dilemma Game is a game
of social conflict.
Opportunity for multi-agent learning by learning
during repeated play, the Pareto optimal solution
(-1,-1) can emerge as a result of learning (also
can arise in evolutionary game theory).
95Battle of the Sexes
96Battle of the Sexes
- This game has
- no (iterated) dominant strategy equilibrium
97Battle of the Sexes
- This game has
- no (iterated) dominant strategy equilibrium
98Battle of the Sexes
- This game has
- no (iterated) dominant strategy equilibrium
- two Nash equilibria (Prize Fight, Prize Fight)
and (Ballet, Ballet)
99Battle of the Sexes
This game has two Nash equilibria
How can these two players coordinate ?
100Multiagent Q-learning desiderata
- performs well vs. arbitrarily adapting other
agents - best-response probably impossible
- Doesnt need correct model of other agents
learning algorithms - But modeling is fair game
- Doesnt need to know other agents payoffs
- Estimate other agents strategies from
observation - do not assume game-theoretic play
- No assumption of stationary outcome population
may never reach eqm, agents may never stop
adapting - Self-play convergence to repeated Nash would be
nice but not necessary. (unreasonable to seek
convergence to a one-shot Nash)
101Naïve Approaches to Multi-Agent Learning
- Basic idea agent adapts, ignoring
non-stationarity of other agents strategies - 1. Evolutionary game theory Replicator
Dynamics models large population of agents
using different strategies, fittest agents breed
more copies. - Let x population strategy vector, and xk
fraction of population playing strategy k.
Growth rate then - Above eqn also derived from an imitation model
- NE are fixed points of above equation, but not
necessarily attractors (unstable or neutral
stable)
102Many possible dynamic behaviors...
- limit cycles attractors
unstable f.p. - Also saddle points, chaotic orbits, ...
-
103Replicator dynamics auction bidding strategies
104More Naïve Approaches
- 2. Iterated Gradient Ascent (Singh, Kearns and
Mansour) Again does a myopic adaptation to
other players current strategy. - Coupled system of linear equations u is linear
in xi and x-i - Analysis for two-player, two-action games either
converges to a Nash fixed point on the boundary
(at least one pure strategy), or get limit cycles -
105Further Naïve Approaches
- 3. Dumb Single-Agent Learning Use a single-agent
algorithm in a multi-agent problem hope that it
works - No-regret learning by pricebots (Greenwald
Kephart) - Simultaneous Q-learning by pricebots (Tesauro
Kephart) - In many cases, this actually works learners
converge either exactly or approximately to
self-consistent optimal strategies - Naïve approaches are rational i.e. they
converge to a best response against a stationary
opponent - but they generally dont converge to Nash
equilibrium -
106A Fancier Approach
- 4. No-regret learning (Hart Mas-Colell, Freund
Schapire, many others) Define regret for
playing a sequence si instead of constant action
aj for t time steps - Then choose next action with probability
proportional to - prob (action j)
- This has a worst-case guarantee that asymptotic
regret per time step ?0, i.e., will be as good as
best (constant) action choice
107Sophisticated approaches
- Takes into account the possibility that other
agents strategies might change. - 4. Equilibrium Q-learners
- Minimax-Q (Littman) converges to Nash
equilibrium for two-player zero-sum stochastic
games - FriendOrFoe-Q (Littman) convergent algorithm for
games where every other player can be identified
as friend (same payoffs as me) or foe
(payoffs are zero-sum) - These algorithms converge to Nash equilibrium but
arent rational since they dont best-respond
to a fixed opponent -
108More sophisticated approaches...
- 5. Varying learning rates
- WoLF Win or Learn Fast (Bowling) agent
reduces its learning rate when performing well,
and increases when doing badly. Improves
convergence of IGA and policy hill-climbing - GIGA-WoLF (Bowling) Combines the IGA algorithm
with WoLF idea. Provably convergent no-regret.
109More sophisticated approaches...
- 6. Strategic Teaching recognizes that other
players strategy are adaptive - A strategic teacher may play a strategy which is
not myopically optimal (such as cooperating in
Prisoners Dilemma) in the hope that it induces
adaptive players to expect that strategy in the
future, which triggers a best-response that
benefits the teacher. (Camerer, Ho and Chong)
110Theoretical Research Challenges
- Proper theoretical formulation?
- No short-cut hypothesis Massive on-line search
a la Deep Blue to maximize expected long-term
reward - (Bayesian) Model and predict behavior of other
players, including how they learn based on my
actions (beware of infinite model recursion) - trial-and-error exploration
- continual Bayesian inference using all evidence
over all uncertainties (Boutilier Bayesian
exploration) - When can you get away with simpler methods?
111Real-World Opportunities
- Multi-agent systems where you cant do game
theory (covers everything -)) - Electronic marketplaces
- Mobile networks
- Self-managing computer systems
- Teams of robots
- Video games
- Military/counter-terrorism applications
112Backup Slides