A simple and natural algorithm for reinforcement learning is Monte Carlo Exploring States (MCES), where the Q-function is estimated by averaging the Monte Carlo returns, and the policy is improved by choosing actions that maximize the current estimate of the Q-function. Exploration is performed by "exploring starts", that is, each episode begins with a randomly chosen state and action and then follows the current policy. Establishing convergence for this algorithm has been an open problem for more than 20 years. We make headway with this problem by proving convergence for Optimal Policy Feed-Forward MDPs, which are MDPs whose states are not revisited within any episode for an optimal policy. Such MDPs include all deterministic environments (including Cliff Walking and other gridworld examples) and a large class of stochastic environments (including Blackjack). The convergence results presented here make progress for this long-standing open problem in reinforcement learning.

A/B testing, or online experiment is a standard business strategy to compare a new product with an old one in pharmaceutical, technological, and traditional industries. Major challenges arise in online experiments where there is only one unit that receives a sequence of treatments over time. In those experiments, the treatment at a given time impacts current outcome as well as future outcomes. The aim of this paper is to introduce a reinforcement learning framework for carrying A/B testing, while characterizing the long-term treatment effects. Our proposed testing procedure allows for sequential monitoring and online updating, so it is generally applicable to a variety of treatment designs in different industries. In addition, we systematically investigate the theoretical properties (e.g., asymptotic distribution and power) of our testing procedure. Finally, we apply our framework to both synthetic datasets and a real-world data example obtained from a ride-sharing company to illustrate its usefulness.

Multi-agent reinforcement learning (MARL) has been applied to many challenging problems including two-team computer games, autonomous drivings, and real-time biddings. Despite the empirical success, there is a conspicuous absence of theoretical study of different MARL algorithms: this is mainly due to the curse of dimensionality caused by the exponential growth of the joint state-action space as the number of agents increases. Mean-field controls (MFC) with infinitely many agents and deterministic flows, meanwhile, provide good approximations to $N$-agent collaborative games in terms of both game values and optimal strategies. In this paper, we study the collaborative MARL under an MFC approximation framework: we develop a model-free kernel-based Q-learning algorithm (CDD-Q) and show that its convergence rate and sample complexity are independent of the number of agents. Our empirical studies on MFC examples demonstrate strong performances of CDD-Q. Moreover, the CDD-Q algorithm can be applied to a general class of Markov decision problems (MDPs) with deterministic dynamics and continuous state-action space.

We consider the problem of prediction by a machine learning algorithm, called learner, within an adversarial learning setting. The learner's task is to correctly predict the class of data passed to it as a query. However, along with queries containing clean data, the learner could also receive malicious or adversarial queries from an adversary. The objective of the adversary is to evade the learner's prediction mechanism by sending adversarial queries that result in erroneous class prediction by the learner, while the learner's objective is to reduce the incorrect prediction of these adversarial queries without degrading the prediction quality of clean queries. We propose a game theory-based technique called a Repeated Bayesian Sequential Game where the learner interacts repeatedly with a model of the adversary using self play to determine the distribution of adversarial versus clean queries. It then strategically selects a classifier from a set of pre-trained classifiers that balances the likelihood of correct prediction for the query along with reducing the costs to use the classifier. We have evaluated our proposed technique using clean and adversarial text data with deep neural network-based classifiers and shown that the learner can select an appropriate classifier that is commensurate with the query type (clean or adversarial) while remaining aware of the cost to use the classifier.

Recurrent Neural Networks (RNNs) have been shown to be valuable for constructing Intrusion Detection Systems (IDSs) for network data. They allow determining if a flow is malicious or not already before it is over, making it possible to take action immediately. However, considering the large number of packets that have to be inspected, the question of computational efficiency arises. We show that by using a novel Reinforcement Learning (RL)-based approach called SparseIDS, we can reduce the number of consumed packets by more than three fourths while keeping classification accuracy high. Comparing to various other sampling techniques, SparseIDS consistently achieves higher classification accuracy by learning to sample only relevant packets. A major novelty of our RL-based approach is that it can not only skip up to a predefined maximum number of samples like other approaches proposed in the domain of Natural Language Processing but can even skip arbitrarily many packets in one step. This enables saving even more computational resources for long sequences. Inspecting SparseIDS's behavior of choosing packets shows that it adopts different sampling strategies for different attack types and network flows. Finally we build an automatic steering mechanism that can guide SparseIDS in deployment to achieve a desired level of sparsity.

In this paper we consider infinite horizon discounted dynamic programming problems with finite state and control spaces, and partial state observations. We discuss an algorithm that uses multistep lookahead, truncated rollout with a known base policy, and a terminal cost function approximation. This algorithm is also used for policy improvement in an approximate policy iteration scheme, where successive policies are approximated by using a neural network classifier. A novel feature of our approach is that it is well suited for distributed computation through an extended belief space formulation and the use of a partitioned architecture, which is trained with multiple neural networks. We apply our methods in simulation to a class of sequential repair problems where a robot inspects and repairs a pipeline with potentially several rupture sites under partial information about the state of the pipeline.

We present a map-less path planning algorithm based on Deep Reinforcement Learning (DRL) for mobile robots navigating in unknown environment that only relies on 40-dimensional raw laser data and odometry information. The planner is trained using a reward function shaped based on the online knowledge of the map of the training environment, obtained using grid-based Rao-Blackwellized particle filter, in an attempt to enhance the obstacle awareness of the agent. The agent is trained in a complex simulated environment and evaluated in two unseen ones. We show that the policy trained using the introduced reward function not only outperforms standard reward functions in terms of convergence speed, by a reduction of 36.9\% of the iteration steps, and reduction of the collision samples, but it also drastically improves the behaviour of the agent in unseen environments, respectively by 23\% in a simpler workspace and by 45\% in a more clustered one. Furthermore, the policy trained in the simulation environment can be directly and successfully transferred to the real robot. A video of our experiments can be found at: https://youtu.be/UEV7W6e6ZqI

Dialogue research tends to distinguish between chit-chat and goal-oriented tasks. While the former is arguably more naturalistic and has a wider use of language, the latter has clearer metrics and a straightforward learning signal. Humans effortlessly combine the two, for example engaging in chit-chat with the goal of exchanging information or eliciting a specific response. Here, we bridge the divide between these two domains in the setting of a rich multi-player text-based fantasy environment where agents and humans engage in both actions and dialogue. Specifically, we train a goal-oriented model with reinforcement learning against an imitation-learned ``chit-chat'' model with two approaches: the policy either learns to pick a topic or learns to pick an utterance given the top-K utterances from the chit-chat model. We show that both models outperform an inverse model baseline and can converse naturally with their dialogue partner in order to achieve goals.

Human societies are extremely complex. The cultural, racial and geographical differences around the globe and the lack of curated data make'fairness' in technology a huge challenge. Now, in an attempt to track the long term societal impacts of artificial intelligence, Google researchers recently released a machine learning fairness gym. They have done this by using Google's OpenAI Gym. OpenAI's Gym is a toolkit for developing and comparing reinforcement learning algorithms and is compatible with any numerical computation library, such as TensorFlow or Theano.

Portfolio management (PM) is a fundamental financial planning task that aims to achieve investment goals such as maximal profits or minimal risks. Its decision process involves continuous derivation of valuable information from various data sources and sequential decision optimization, which is a prospective research direction for reinforcement learning (RL). In this paper, we propose SARL, a novel State-Augmented RL framework for PM. Our framework aims to address two unique challenges in financial PM: (1) data heterogeneity -- the collected information for each asset is usually diverse, noisy and imbalanced (e.g., news articles); and (2) environment uncertainty -- the financial market is versatile and non-stationary. To incorporate heterogeneous data and enhance robustness against environment uncertainty, our SARL augments the asset information with their price movement prediction as additional states, where the prediction can be solely based on financial data (e.g., asset prices) or derived from alternative sources such as news. Experiments on two real-world datasets, (i) Bitcoin market and (ii) HighTech stock market with 7-year Reuters news articles, validate the effectiveness of SARL over existing PM approaches, both in terms of accumulated profits and risk-adjusted profits. Moreover, extensive simulations are conducted to demonstrate the importance of our proposed state augmentation, providing new insights and boosting performance significantly over standard RL-based PM method and other baselines.