Traditionally, Back testing is a data based approach to decision making. Backtesting offers Research analysts, traders, and investors a way to evaluate and optimize their trading strategies and model portfolios before implementing them. This is done by using historical data, backtest the model to see whether it would have worked in the past. By comparing the predicted results of the model against the actual historical results, backtesting can determine whether the model has predictive value. This is where we, in essence, put your trading strategies and model portfolios into a time machine (i.e.

Machine Learning models become increasingly proficient in complex tasks. However, even for experts in the field, it can be difficult to understand what the model learned. This hampers trust and acceptance, and it obstructs the possibility to correct the model. There is therefore a need for transparency of machine learning models. The development of transparent classification models has received much attention, but there are few developments for achieving transparent Reinforcement Learning (RL) models. In this study we propose a method that enables a RL agent to explain its behavior in terms of the expected consequences of state transitions and outcomes. First, we define a translation of states and actions to a description that is easier to understand for human users. Second, we developed a procedure that enables the agent to obtain the consequences of a single action, as well as its entire policy. The method calculates contrasts between the consequences of a policy derived from a user query, and of the learned policy of the agent. Third, a format for generating explanations was constructed. A pilot survey study was conducted to explore preferences of users for different explanation properties. Results indicate that human users tend to favor explanations about policy rather than about single actions.

Many relevant tasks require an agent to reach a certain state, or to manipulate objects into a desired configuration. For example, we might want a robot to align and assemble a gear onto an axle or insert and turn a key in a lock. These goal-oriented tasks present a considerable challenge for reinforcement learning, since their natural reward function is sparse and prohibitive amounts of exploration are required to reach the goal and receive some learning signal. Past approaches tackle these problems by exploiting expert demonstrations or by manually designing a task-specific reward shaping function to guide the learning agent. Instead, we propose a method to learn these tasks without requiring any prior knowledge other than obtaining a single state in which the task is achieved. The robot is trained in reverse, gradually learning to reach the goal from a set of start states increasingly far from the goal. Our method automatically generates a curriculum of start states that adapts to the agent's performance, leading to efficient training on goal-oriented tasks. We demonstrate our approach on difficult simulated navigation and fine-grained manipulation problems, not solvable by state-of-the-art reinforcement learning methods.

Activities in reinforcement learning (RL) revolve around learning the Markov decision process (MDP) model, in particular, the following parameters: state values, V; state-action values, Q; and policy, pi. These parameters are commonly implemented as an array. Scaling up the problem means scaling up the size of the array and this will quickly lead to a computational bottleneck. To get around this, the RL problem is commonly formulated to learn a specific task using hand-crafted input features to curb the size of the array. In this report, we discuss an alternative end-to-end Deep Reinforcement Learning (DRL) approach where the DRL attempts to learn general task representations which in our context refers to learning to play the Pong game from a sequence of screen snapshots without game-specific hand-crafted features. We apply artificial neural networks (ANN) to approximate a policy of the RL model. The policy network, via Policy Gradients (PG) method, learns to play the Pong game from a sequence of frames without any extra semantics apart from the pixel information and the score. In contrast to the traditional tabular RL approach where the contents in the array have clear interpretations such as V or Q, the interpretation of knowledge content from the weights of the policy network is more illusive. In this work, we experiment with various Deep ANN architectures i.e., Feed forward ANN (FFNN), Convolution ANN (CNN) and Asynchronous Advantage Actor-Critic (A3C). We also examine the activation of hidden nodes and the weights between the input and the hidden layers, before and after the DRL has successfully learnt to play the Pong game. Insights into the internal learning mechanisms and future research directions are then discussed.

Deep reinforcement learning, and especially the Asynchronous Advantage Actor-Critic algorithm, has been successfully used to achieve super-human performance in a variety of video games. Starcraft II is a new challenge for the reinforcement learning community with the release of pysc2 learning environment proposed by Google Deepmind and Blizzard Entertainment. Despite being a target for several AI developers, few have achieved human level performance. In this project we explain the complexities of this environment and discuss the results from our experiments on the environment. We have compared various architectures and have proved that transfer learning can be an effective paradigm in reinforcement learning research for complex scenarios requiring skill transfer.

We demonstrate how to learn efficient heuristics for automated reasoning algorithms through deep reinforcement learning. We consider search algorithms for quantified Boolean logics, that already can solve formulas of impressive size - up to 100s of thousands of variables. The main challenge is to find a representation which lends to making predictions in a scalable way. The heuristics learned through our approach significantly improve over the handwritten heuristics for several sets of formulas.

Designing hierarchical reinforcement learning algorithms that induce a notion of safety is not only vital for safety-critical applications, but also, brings better understanding of an artificially intelligent agent's decisions. While learning end-to-end options automatically has been fully realized recently, we propose a solution to learning safe options. We introduce the idea of controllability of states based on the temporal difference errors in the option-critic framework. We then derive the policy-gradient theorem with controllability and propose a novel framework called safe option-critic. We demonstrate the effectiveness of our approach in the four-rooms grid-world, cartpole, and three games in the Arcade Learning Environment (ALE): MsPacman, Amidar and Q*Bert. Learning of end-to-end options with the proposed notion of safety achieves reduction in the variance of return and boosts the performance in environments with intrinsic variability in the reward structure. More importantly, the proposed algorithm outperforms the vanilla options in all the environments and primitive actions in two out of three ALE games.

In recent weeks DeepMind and OpenAI have each shared that they developed agents which can learn to complete the first level of the Atari 2600 game Montezuma's Revenge. These claims are important because Montezuma's Revenge is important. Unlike the vast majority of the games in the Arcade Learning Environment (ALE), which are now easily solved at superhuman level by learned agents, Montezuma's Revenge has been hitherto unsolved by Deep Reinforcement Learning methods and was thought by some to be unsolvable for years to come. What distinguishes Montezuma's Revenge from other games in the ALE is its relatively sparse rewards. For those unfamiliar, that means that the agent only receives reward signals after completing specific series of actions over extended periods of time.

We introduce a new RL problem where the agent is required to execute a given subtask graph which describes a set of subtasks and their dependency. Unlike existing multitask RL approaches that explicitly describe what the agent should do, a subtask graph in our problem only describes properties of subtasks and relationships among them, which requires the agent to perform complex reasoning to find the optimal sequence of subtasks to execute. To tackle this problem, we propose a neural subtask graph solver (NSS) which encodes the subtask graph using a recursive neural network. To overcome the difficulty of training, we propose a novel non-parametric gradient-based policy to pre-train our NSS agent. % and further finetune it through actor-critic method. The experimental results on two 2D visual domains show that our agent can perform complex reasoning to find a near-optimal way of executing the subtask graph and generalize well to the unseen subtask graphs. In addition, we compare our agent with a Monte-Carlo tree search (MCTS) method showing that (1) our method is much more efficient than MCTS and (2) combining MCTS with NSS dramatically improves the search performance.

Fuzzing is a commonly used technique designed to test software by automatically crafting program inputs. Currently, the most successful fuzzing algorithms emphasize simple, low-overhead strategies with the ability to efficiently monitor program state during execution. Through compile-time instrumentation, these approaches have access to numerous aspects of program state including coverage, data flow, and heterogeneous fault detection and classification. However, existing approaches utilize blind random mutation strategies when generating test inputs. We present a different approach that uses this state information to optimize mutation operators using reinforcement learning (RL). By integrating OpenAI Gym with libFuzzer we are able to simultaneously leverage advancements in reinforcement learning as well as fuzzing to achieve deeper coverage across several varied benchmarks. Our technique connects the rich, efficient program monitors provided by LLVM Santizers with a deep neural net to learn mutation selection strategies directly from the input data. The cross-language, asynchronous architecture we developed enables us to apply any OpenAI Gym compatible deep reinforcement learning algorithm to any fuzzing problem with minimal slowdown.