The financial markets, which involve over \$90 trillion market capitals, attract the attention of innumerable profit-seeking investors globally. Recent explosion of reinforcement learning in financial trading (RLFT) research has shown stellar performance on many quantitative trading tasks. However, it is still challenging to deploy reinforcement learning (RL) methods into real-world financial markets due to the highly composite nature of this domain, which entails design choices and interactions between components that collect financial data, conduct feature engineering, build market environments, make investment decisions, evaluate model behaviors and offers user interfaces. Despite the availability of abundant financial data and advanced RL techniques, a remarkable gap still exists between the potential and realized utilization of RL in financial trading. In particular, orchestrating an RLFT project lifecycle poses challenges in engineering (i.e.

Deep reinforcement learning (RL) works impressively in some environments and fails catastrophically in others. Ideally, RL theory should be able to provide an understanding of why this is, i.e. bounds predictive of practical performance. Unfortunately, current theory does not quite have this ability. We compare standard deep RL algorithms to prior sample complexity bounds by introducing a new dataset, BRIDGE. It consists of 155 MDPs from common deep RL benchmarks, along with their corresponding tabular representations, which enables us to exactly compute instance-dependent bounds.

Many policy optimization approaches in reinforcement learning incorporate a Kullback-Leilbler (KL) divergence to the previous policy, to prevent the policy from changing too quickly. This idea was initially proposed in a seminal paper on Conservative Policy Iteration, with approximations given by algorithms like TRPO and Munchausen Value Iteration (MVI). We continue this line of work by investigating a generalized KL divergence---called the Tsallis KL divergence. Tsallis KL defined by the $q$-logarithm is a strict generalization, as $q = 1$ corresponds to the standard KL divergence; $q > 1$ provides a range of new options. We characterize the types of policies learned under the Tsallis KL, and motivate when $q > 1$ could be beneficial. To obtain a practical algorithm that incorporates Tsallis KL regularization, we extend MVI, which is one of the simplest approaches to incorporate KL regularization. We show that this generalized MVI($q$) obtains significant improvements over the standard MVI($q = 1$) across 35 Atari games.

Recently, neural heuristics based on deep reinforcement learning have exhibited promise in solving multi-objective combinatorial optimization problems (MOCOPs). However, they are still struggling to achieve high learning efficiency and solution quality. To tackle this issue, we propose an efficient meta neural heuristic (EMNH), in which a meta-model is first trained and then fine-tuned with a few steps to solve corresponding single-objective subproblems. Specifically, for the training process, a (partial) architecture-shared multi-task model is leveraged to achieve parallel learning for the meta-model, so as to speed up the training; meanwhile, a scaled symmetric sampling method with respect to the weight vectors is designed to stabilize the training. For the fine-tuning process, an efficient hierarchical method is proposed to systematically tackle all the subproblems. Experimental results on the multi-objective traveling salesman problem (MOTSP), multi-objective capacitated vehicle routing problem (MOCVRP), and multi-objective knapsack problem (MOKP) show that, EMNH is able to outperform the state-of-the-art neural heuristics in terms of solution quality and learning efficiency, and yield competitive solutions to the strong traditional heuristics while consuming much shorter time.

Distributional reinforcement learning algorithms have attempted to utilize estimated uncertainty for exploration, such as optimism in the face of uncertainty. However, using the estimated variance for optimistic exploration may cause biased data collection and hinder convergence or performance. In this paper, we present a novel distributional reinforcement learning that selects actions by randomizing risk criterion without losing the risk-neutral objective. We provide a perturbed distributional Bellman optimality operator by distorting the risk measure. Also,we prove the convergence and optimality of the proposed method with the weaker contraction property. Our theoretical results support that the proposed method does not fall into biased exploration and is guaranteed to converge to an optimal return. Finally, we empirically show that our method outperforms other existing distribution-based algorithms in various environments including Atari 55 games.

We consider the problem of learning models for risk-sensitive reinforcement learning. We theoretically demonstrate that proper value equivalence, a method of learning models which can be used to plan optimally in the risk-neutral setting, is not sufficient to plan optimally in the risk-sensitive setting. We leverage distributional reinforcement learning to introduce two new notions of model equivalence, one which is general and can be used to plan for any risk measure, but is intractable; and a practical variation which allows one to choose which risk measures they may plan optimally for. We demonstrate how our models can be used to augment any model-free risk-sensitive algorithm, and provide both tabular and large-scale experiments to demonstrate our method's ability.

In Reinforcement Learning, agents learn policies by exploring and interacting with the environment. Due to the curse of dimensionality, learning policies that map high-dimensional sensory input to motor output is particularly challenging. During training, state of the art methods (SAC, PPO, etc.) explore the environment by perturbing the actuation with independent Gaussian noise. While this unstructured exploration has proven successful in numerous tasks, it can be suboptimal for overactuated systems. When multiple actuators, such as motors or muscles, drive behavior, uncorrelated perturbations risk diminishing each other's effect, or modifying the behavior in a task-irrelevant way.

Model-free reinforcement learning algorithms have exhibited great potential in solving single-task sequential decision-making problems with high-dimensional observations and long horizons, but are known to be hard to generalize across tasks. Model-based RL, on the other hand, learns task-agnostic models of the world that naturally enables transfer across different reward functions, but struggles to scale to complex environments due to the compounding error. To get the best of both worlds, we propose a self-supervised reinforcement learning method that enables the transfer of behaviors across tasks with different rewards, while circumventing the challenges of model-based RL. In particular, we show self-supervised pre-training of model-free reinforcement learning with a number of random features as rewards allows implicit modeling of long-horizon environment dynamics. Then, planning techniques like model-predictive control using these implicit models enable fast adaptation to problems with new reward functions. Our method is self-supervised in that it can be trained on offline datasets without reward labels, but can then be quickly deployed on new tasks. We validate that our proposed method enables transfer across tasks on a variety of manipulation and locomotion domains in simulation, opening the door to generalist decision-making agents.

Reward specification is a notoriously difficult problem in reinforcement learning, requiring extensive expert supervision to design robust reward functions. Imitation learning (IL) methods attempt to circumvent these problems by utilizing expert demonstrations instead of using an extrinsic reward function but typically require a large number of in-domain expert demonstrations. Inspired by advances in the field of Video-and-Language Models (VLMs), we present RoboCLIP, an online imitation learning method that uses a single demonstration (overcoming the large data requirement) in the form of a video demonstration or a textual description of the task to generate rewards without manual reward function design. Additionally, RoboCLIP can also utilize out-of-domain demonstrations, like videos of humans solving the task for reward generation, circumventing the need to have the same demonstration and deployment domains.

This paper studies tabular reinforcement learning (RL) in the hybrid setting, which assumes access to both an offline dataset and online interactions with the unknown environment. A central question boils down to how to efficiently utilize online data to strengthen and complement the offline dataset and enable effective policy fine-tuning. Leveraging recent advances in reward-agnostic exploration and offline RL, we design a three-stage hybrid RL algorithm that beats the best of both worlds --- pure offline RL and pure online RL --- in terms of sample complexities. The proposed algorithm does not require any reward information during data collection.