2,029 research outputs found

    Reinforcement Learning Applied to Trading Systems: A Survey

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    Financial domain tasks, such as trading in market exchanges, are challenging and have long attracted researchers. The recent achievements and the consequent notoriety of Reinforcement Learning (RL) have also increased its adoption in trading tasks. RL uses a framework with well-established formal concepts, which raises its attractiveness in learning profitable trading strategies. However, RL use without due attention in the financial area can prevent new researchers from following standards or failing to adopt relevant conceptual guidelines. In this work, we embrace the seminal RL technical fundamentals, concepts, and recommendations to perform a unified, theoretically-grounded examination and comparison of previous research that could serve as a structuring guide for the field of study. A selection of twenty-nine articles was reviewed under our classification that considers RL's most common formulations and design patterns from a large volume of available studies. This classification allowed for precise inspection of the most relevant aspects regarding data input, preprocessing, state and action composition, adopted RL techniques, evaluation setups, and overall results. Our analysis approach organized around fundamental RL concepts allowed for a clear identification of current system design best practices, gaps that require further investigation, and promising research opportunities. Finally, this review attempts to promote the development of this field of study by facilitating researchers' commitment to standards adherence and helping them to avoid straying away from the RL constructs' firm ground.Comment: 38 page

    A Fast Learning Variable Lambda TD Model: Used to Realize Home Aware Robot Navigation

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    Towards real-time reinforcement learning control of a wave energy converter

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    The levellised cost of energy of wave energy converters (WECs) is not competitive with fossil fuel-powered stations yet. To improve the feasibility of wave energy, it is necessary to develop effective control strategies that maximise energy absorption in mild sea states, whilst limiting motions in high waves. Due to their model-based nature, state-of-the-art control schemes struggle to deal with model uncertainties, adapt to changes in the system dynamics with time, and provide real-time centralised control for large arrays of WECs. Here, an alternative solution is introduced to address these challenges, applying deep reinforcement learning (DRL) to the control of WECs for the first time. A DRL agent is initialised from data collected in multiple sea states under linear model predictive control in a linear simulation environment. The agent outperforms model predictive control for high wave heights and periods, but suffers close to the resonant period of the WEC. The computational cost at deployment time of DRL is also much lower by diverting the computational effort from deployment time to training. This provides confidence in the application of DRL to large arrays of WECs, enabling economies of scale. Additionally, model-free reinforcement learning can autonomously adapt to changes in the system dynamics, enabling fault-tolerant control

    Affinity-Based Reinforcement Learning : A New Paradigm for Agent Interpretability

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    The steady increase in complexity of reinforcement learning (RL) algorithms is accompanied by a corresponding increase in opacity that obfuscates insights into their devised strategies. Methods in explainable artificial intelligence seek to mitigate this opacity by either creating transparent algorithms or extracting explanations post hoc. A third category exists that allows the developer to affect what agents learn: constrained RL has been used in safety-critical applications and prohibits agents from visiting certain states; preference-based RL agents have been used in robotics applications and learn state-action preferences instead of traditional reward functions. We propose a new affinity-based RL paradigm in which agents learn strategies that are partially decoupled from reward functions. Unlike entropy regularisation, we regularise the objective function with a distinct action distribution that represents a desired behaviour; we encourage the agent to act according to a prior while learning to maximise rewards. The result is an inherently interpretable agent that solves problems with an intrinsic affinity for certain actions. We demonstrate the utility of our method in a financial application: we learn continuous time-variant compositions of prototypical policies, each interpretable by its action affinities, that are globally interpretable according to customers’ financial personalities. Our method combines advantages from both constrained RL and preferencebased RL: it retains the reward function but generalises the policy to match a defined behaviour, thus avoiding problems such as reward shaping and hacking. Unlike Boolean task composition, our method is a fuzzy superposition of different prototypical strategies to arrive at a more complex, yet interpretable, strategy.publishedVersio
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