Model-Free Non-Stationarity Detection and Adaptation in Reinforcement Learning

摘要

In most Reinforcement Learning (RL) studies, the considered task is assumed to be stationary, i.e., it does not change its behavior or its characteristics over time, as this allows to generate all the convergence properties of RL techniques. Unfortunately, this assumption does not hold in real-world scenarios where systems and environments typically evolve over time. For instance, in robotic applications, sensor or actuator faults would induce a sudden change in the RL settings, while in financial applications the evolution of the market can cause a more gradual variation over time. In this paper, we present an adaptive RL algorithm able to detect changes in the environment or in the reward function and react to these changes by adapting to the new conditions of the task. At first, we develop a figure of merit onto which a hypothesis test can be applied to detect changes between two different learning iterations. Then, we extended this test to sequentially operate over time by means of the CUmulative SUM (CUSUM) approach. Finally, the proposed change-detection mechanism is combined (following an adaptive-active approach) with a well known RL algorithm to make it able to deal with non-stationary tasks. We tested the proposed algorithm on two well-known continuous-control tasks to check its effectiveness in terms of non-stationarity detection and adaptation over a vanilla RL algorithm.