Slides prepared by Georgios Chalkiadakis

Optimal Learning &Bayes-Adaptive MDPs

An Overview

Slides on M. Duff’s Thesis/Ch.1SDM-RG, Mar-09

Slides prepared by Georgios Chalkiadakis

Optimal Learning: Overview

Behaviour that maximizes expected total reward while interacting with an uncertain world.

Behave well while learning, learn while behaving well.

Slides prepared by Georgios Chalkiadakis

Optimal Learning: Overview

What does it mean to behave optimally under uncertainty?

Optimality is defined with respect to a distribution of environments.

Explore vs. Exploit given prior uncertainty regarding environments

What is the “value of information”?

Slides prepared by Georgios Chalkiadakis

Optimal Learning: Overview

Bayesian approach: Evolve uncertainty about unknown process parameters

The parameters describe prior distributions about the world model (transitions/rewards)

That is, about information states

Slides prepared by Georgios Chalkiadakis

Optimal Learning: Overview

The sequential problem is described by a “hyperstate”-MDP (“Bayes-Adaptive MDP”):

Instead of just physical states physical states+ information states

Slides prepared by Georgios Chalkiadakis

Simple “stateless” example

Bernoulli process parameters θ1 θ2 describe the actual (but unknown) probabilities of success

Bayesian: Uncertainty about parameters describe it by conjugate prior distributions:

Slides prepared by Georgios Chalkiadakis

Conjugate Priors

A prior is conjugate to a likelihood function if the posterior is in the same family with the prior

Prior in the family, posterior in the family

A simple update of hyperparameters is enough to get the posterior!

Information-statetransition diagram

Slides prepared by Georgios Chalkiadakis

It simply becomes:

Slides prepared by Georgios Chalkiadakis

Bellman optimality equation (with k steps

to go)

Slides prepared by Georgios Chalkiadakis

Enter physical states (MDPs)

2 physical states

Slides prepared by Georgios Chalkiadakis

Enter physical states (MDPs)

2 physical states / 2 actions

Four Bernoulli processes: 1 at 1, 2 at 1, 1 at 2, 2 at 2

(a_1^1, b_1^1) hyperparameters of beta distribution capturing uncertainty about p^1_{11}

full hyperstate:

Note: we now have to be in a specific physical state to sample a related process

Enter physical states (MDPs)

Optimality equation

Slides prepared by Georgios Chalkiadakis

More than 2 physical states…What priors

now?

Dirichlet – conjugate to the multinomial sampling Sampling is now multinomial : s many s’

We will see examples in future readings…

Slides prepared by Georgios Chalkiadakis

Certainty equivalence? Truncate the horizon

Compute terminal values using means

…and proceed with a receding-horizon approach Perform DP , take first “optimal” action, shift

window fwd, repeat

Or, even simpler, consider an horizon of 1• Compute DP “optimal” policies using means of current belief distributions• perform action, ob

Or, even more simply, use a myopic c-e approach:

Use means of current priors to compute DP optimal policies

Execute “optimal” action, observe transition

Update distribution, repeat

Slides prepared by Georgios Chalkiadakis

No, it’s not a good idea!...

Actions / state transitions might be starved forever,

…even if the initial prior is an accurate model of uncertainty!

Slides prepared by Georgios Chalkiadakis

Example

Example (cont.)

Slides prepared by Georgios Chalkiadakis

So, we have to be properly Bayesian

If the prior is an accurate model of uncertainty, “important” actions/states will not be starved

There exists Bayesian RL algorithms that do a more than a decent job! (future readings) However, if the prior provides a distorted picture of

reality, then we can have no convergence guarantees

…but “optimal learning” is still in place (assuming that other algorithms operate with the same prior knowledge)