Related papers: Policy Gradient Optimization of Thompson Sampling …
This note introduce three Bayesian style Multi-armed bandit algorithms: Information-directed sampling, Thompson Sampling and Generalized Thompson Sampling. The goal is to give an intuitive explanation for these three algorithms and their…
Bayesian optimization through Gaussian process regression is an effective method of optimizing an unknown function for which every measurement is expensive. It approximates the objective function and then recommends a new measurement point…
We introduce a novel policy learning method that integrates analytical gradients from differentiable environments with the Proximal Policy Optimization (PPO) algorithm. To incorporate analytical gradients into the PPO framework, we…
We address the problem of online sequential decision making, i.e., balancing the trade-off between exploiting the current knowledge to maximize immediate performance and exploring the new information to gain long-term benefits using the…
Reinforcement learning studies how to balance exploration and exploitation in real-world systems, optimizing interactions with the world while simultaneously learning how the world operates. One general class of algorithms for such learning…
Reinforcement learning provides a mathematical framework for learning-based control, whose success largely depends on the amount of data it can utilize. The efficient utilization of historical trajectories obtained from previous policies is…
Recently, the impressive empirical success of policy gradient (PG) methods has catalyzed the development of their theoretical foundations. Despite the huge efforts directed at the design of efficient stochastic PG-type algorithms, the…
The policy gradient theorem describes the gradient of the expected discounted return with respect to an agent's policy parameters. However, most policy gradient methods drop the discount factor from the state distribution and therefore do…
Policy gradient methods are extensively used in reinforcement learning as a way to optimize expected return. In this paper, we explore the evolution of the policy parameters, for a special class of exactly solvable POMDPs, as a…
Deep Policy Gradient (PG) algorithms employ value networks to drive the learning of parameterized policies and reduce the variance of the gradient estimates. However, value function approximation gets stuck in local optima and struggles to…
Several researchers have recently investigated the connection between reinforcement learning and classification. We are motivated by proposals of approximate policy iteration schemes without value functions which focus on policy…
Policy-gradient methods are widely used for learning control policies. They can be easily distributed to multiple workers and reach state-of-the-art results in many domains. Unfortunately, they exhibit large variance and subsequently suffer…
An efficient policy search algorithm should estimate the local gradient of the objective function, with respect to the policy parameters, from as few trials as possible. Whereas most policy search methods estimate this gradient by observing…
We propose a new way of deriving policy gradient updates for reinforcement learning. Our technique, based on Fourier analysis, recasts integrals that arise with expected policy gradients as convolutions and turns them into multiplications.…
Thompson sampling provides a solution to bandit problems in which new observations are allocated to arms with the posterior probability that an arm is optimal. While sometimes easy to implement and asymptotically optimal, Thompson sampling…
Thompson Sampling is one of the oldest heuristics for multi-armed bandit problems. It is a randomized algorithm based on Bayesian ideas, and has recently generated significant interest after several studies demonstrated it to have better…
The note studies the problem of selecting a good enough subset out of a finite number of alternatives under a fixed simulation budget. Our work aims to maximize the posterior probability of correctly selecting a good subset. We formulate…
We consider online sequential decision problems where an agent must balance exploration and exploitation. We derive a set of Bayesian `optimistic' policies which, in the stochastic multi-armed bandit case, includes the Thompson sampling…
Thompson Sampling, one of the oldest heuristics for solving multi-armed bandits, has recently been shown to demonstrate state-of-the-art performance. The empirical success has led to great interests in theoretical understanding of this…
Policy gradient methods have shown success in learning control policies for high-dimensional dynamical systems. Their biggest downside is the amount of exploration they require before yielding high-performing policies. In a lifelong…