Asset allocation (or portfolio management) is the task of determining how to optimally allocate funds of a finite budget into a range of financial instruments/assets such as stocks. This study investigated the performance of reinforcement learning (RL) when applied to portfolio management using model-free deep RL agents. We trained several RL agents on real-world stock prices to learn how to perform asset allocation. We compared the performance of these RL agents against some baseline agents. We also compared the RL agents among themselves to understand which classes of agents performed better. From our analysis, RL agents can perform the task of portfolio management since they significantly outperformed two of the baseline agents (random allocation and uniform allocation). Four RL agents (A2C, SAC, PPO, and TRPO) outperformed the best baseline, MPT, overall. This shows the abilities of RL agents to uncover more profitable trading strategies. Furthermore, there were no significant performance differences between value-based and policy-based RL agents. Actor-critic agents performed better than other types of agents. Also, on-policy agents performed better than off-policy agents because they are better at policy evaluation and sample efficiency is not a significant problem in portfolio management. This study shows that RL agents can substantially improve asset allocation since they outperform strong baselines. On-policy, actor-critic RL agents showed the most promise based on our analysis.

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Over the last ten years, we have seen a significant increase in industrial data, tremendous improvement in computational power, and major theoretical advances in machine learning. This opens up an opportunity to use modern machine learning tools on large-scale nonlinear monitoring and control problems. This article provides a survey of recent results with applications in the process industry.

Meta-gradients provide a general approach for optimizing the meta-parameters of reinforcement learning (RL) algorithms. Estimation of meta-gradients is central to the performance of these meta-algorithms, and has been studied in the setting of MAML-style short-horizon meta-RL problems. In this context, prior work has investigated the estimation of the Hessian of the RL objective, as well as tackling the problem of credit assignment to pre-adaptation behavior by making a sampling correction. However, we show that Hessian estimation, implemented for example by DiCE and its variants, always adds bias and can also add variance to meta-gradient estimation. Meanwhile, meta-gradient estimation has been studied less in the important long-horizon setting, where backpropagation through the full inner optimization trajectories is not feasible. We study the bias and variance tradeoff arising from truncated backpropagation and sampling correction, and additionally compare to evolution strategies, which is a recently popular alternative strategy to long-horizon meta-learning. While prior work implicitly chooses points in this bias-variance space, we disentangle the sources of bias and variance and present an empirical study that relates existing estimators to each other.

Reinforcement learning (RL) is an agent-based approach for teaching robots to navigate within the physical world. Gathering data for RL is known to be a laborious task, and real-world experiments can be risky. Simulators facilitate the collection of training data in a quicker and more cost-effective manner. However, RL frequently requires a significant number of simulation steps for an agent to become skilful at simple tasks. This is a prevalent issue within the field of RL-based visual quadrotor navigation where state dimensions are typically very large and dynamic models are complex. Furthermore, rendering images and obtaining physical properties of the agent can be computationally expensive. To solve this, we present a simulation framework, built on AirSim, which provides efficient parallel training. Building on this framework, Ape-X is modified to incorporate decentralised training of AirSim environments to make use of numerous networked computers. Through experiments we were able to achieve a reduction in training time from 3.9 hours to 11 minutes using the aforementioned framework and a total of 74 agents and two networked computers. Further details including a github repo and videos about our project, PRL4AirSim, can be found at https://sites.google.com/view/prl4airsim/home

As a distributed learning paradigm, Federated Learning (FL) faces the communication bottleneck issue due to many rounds of model synchronization and aggregation. Heterogeneous data further deteriorates the situation by causing slow convergence. Although the impact of data heterogeneity on supervised FL has been widely studied, the related investigation for Federated Reinforcement Learning (FRL) is still in its infancy. In this paper, we first define the type and level of data heterogeneity for policy gradient based FRL systems. By inspecting the connection between the global and local objective functions, we prove that local training can benefit the global objective, if the local update is properly penalized by the total variation (TV) distance between the local and global policies. A necessary condition for the global policy to be learn-able from the local policy is also derived, which is directly related to the heterogeneity level. Based on the theoretical result, a Kullback-Leibler (KL) divergence based penalty is proposed, which, different from the conventional method that penalizes the model divergence in the parameter space, directly constrains the model outputs in the distribution space. Convergence proof of the proposed algorithm is also provided. By jointly penalizing the divergence of the local policy from the global policy with a global penalty and constraining each iteration of the local training with a local penalty, the proposed method achieves a better trade-off between training speed (step size) and convergence. Experiment results on two popular Reinforcement Learning (RL) experiment platforms demonstrate the advantage of the proposed algorithm over existing methods in accelerating and stabilizing the training process with heterogeneous data.

In this work, we build recent advances in distributional reinforcement learning to give a state-of-art distributional variant of the model based on the IQN. We achieve this by using the GAN model's generator and discriminator function with the quantile regression to approximate the full quantile value for the state-action return distribution. We demonstrate improved performance on our baseline dataset - 57 Atari 2600 games in the ALE. Also, we use our algorithm to show the state-of-art training performance of risk-sensitive policies in Atari games with the policy optimization and evaluation.

In lifelong learning, an agent learns throughout its entire life without resets, in a constantly changing environment, as we humans do. Consequently, lifelong learning comes with a plethora of research problems such as continual domain shifts, which result in non-stationary rewards and environment dynamics. These non-stationarities are difficult to detect and cope with due to their continuous nature. Therefore, exploration strategies and learning methods are required that are capable of tracking the steady domain shifts, and adapting to them. We propose Reactive Exploration to track and react to continual domain shifts in lifelong reinforcement learning, and to update the policy correspondingly. To this end, we conduct experiments in order to investigate different exploration strategies. We empirically show that representatives of the policy-gradient family are better suited for lifelong learning, as they adapt more quickly to distribution shifts than Q-learning. Thereby, policy-gradient methods profit the most from Reactive Exploration and show good results in lifelong learning with continual domain shifts. Our code is available at: https://github.com/ml-jku/reactive-exploration.

This paper proposes SCALES, a general framework that translates well-established fairness principles into a common representation based on the Constraint Markov Decision Process (CMDP). With the help of causal language, our framework can place constraints on both the procedure of decision making (procedural fairness) as well as the outcomes resulting from decisions (outcome fairness). Specifically, we show that well-known fairness principles can be encoded either as a utility component, a non-causal component, or a causal component in a SCALES-CMDP. We illustrate SCALES using a set of case studies involving a simulated healthcare scenario and the real-world COMPAS dataset. Experiments demonstrate that our framework produces fair policies that embody alternative fairness principles in single-step and sequential decision-making scenarios.

Deep Reinforcement Learning (DRL) is employed to develop autonomously optimized and custom-designed heat-treatment processes that are both, microstructure-sensitive and energy efficient. Different from conventional supervised machine learning, DRL does not rely on static neural network training from data alone, but a learning agent autonomously develops optimal solutions, based on reward and penalty elements, with reduced or no supervision. In our approach, a temperature-dependent Allen-Cahn model for phase transformation is used as the environment for the DRL agent, serving as the model world in which it gains experience and takes autonomous decisions. The agent of the DRL algorithm is controlling the temperature of the system, as a model furnace for heat-treatment of alloys. Microstructure goals are defined for the agent based on the desired microstructure of the phases. After training, the agent can generate temperature-time profiles for a variety of initial microstructure states to reach the final desired microstructure state. The agent's performance and the physical meaning of the heat-treatment profiles generated are investigated in detail. In particular, the agent is capable of controlling the temperature to reach the desired microstructure starting from a variety of initial conditions. This capability of the agent in handling a variety of conditions paves the way for using such an approach also for recycling-oriented heat treatment process design where the initial composition can vary from batch to batch, due to impurity intrusion, and also for the design of energy-efficient heat treatments. For testing this hypothesis, an agent without penalty on the total consumed energy is compared with one that considers energy costs. The energy cost penalty is imposed as an additional criterion on the agent for finding the optimal temperature-time profile.