Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization

Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a challenging problem. Here, we design a deep reinforcement learning (RL) architecture with an autonomous trading agent such that, investment decisions and actions are made periodically, based on a global objective, with autonomy. In particular, without relying on a purely model-free RL agent, we train our trading agent using a novel RL architecture consisting of an infused prediction module (IPM), a generative adversarial data augmentation module (DAM) and a behavior cloning module (BCM). Our model-based approach works with both on-policy or off-policy RL algorithms. We further design the back-testing and execution engine which interact with the RL agent in real time. Using historical {\em real} financial market data, we simulate trading with practical constraints, and demonstrate that our proposed model is robust, profitable and risk-sensitive, as compared to baseline trading strategies and model-free RL agents from prior work

DRAG: Deep Reinforcement Learning Based Base Station Activation in Heterogeneous Networks

Heterogeneous Network (HetNet), where Small cell Base Stations (SBSs) are densely deployed to offload traffic from macro Base Stations (BSs), is identified as a key solution to meet the unprecedented mobile traffic demand. The high density of SBSs are designed for peak traffic hours and consume an unnecessarily large amount of energy during off-peak time. In this paper, we propose a deep reinforcement-learning based SBS activation strategy that activates the optimal subset of SBSs to significantly lower the energy consumption without compromising the quality of service. In particular, we formulate the SBS on/off switching problem into a Markov Decision Process that can be solved by Actor Critic (AC) reinforcement learning methods. To avoid prohibitively high computational and storage costs of conventional tabular-based approaches, we propose to use deep neural networks to approximate the policy and value functions in the AC approach. Moreover, to expedite the training process, we adopt a Deep Deterministic Policy Gradient (DDPG) approach together with a novel action refinement scheme. Through extensive numerical simulations, we show that the proposed scheme greatly outperforms the existing methods in terms of both energy efficiency and computational efficiency. We also show that the proposed scheme can scale to large system with polynomial complexities in both storage and computation.Comment: 12 pages, 13 figure

A Model-Based Reinforcement Learning Approach for a Rare Disease Diagnostic Task

In this work, we present our various contributions to the objective of building a decision support tool for the diagnosis of rare diseases. Our goal is to achieve a state of knowledge where the uncertainty about the patient's disease is below a predetermined threshold. We aim to reach such states while minimizing the average number of medical tests to perform. In doing so, we take into account the need, in many medical applications, to avoid, as much as possible, any misdiagnosis. To solve this optimization task, we investigate several reinforcement learning algorithm and make them operable in our high-dimensional and sparse-reward setting. We also present a way to combine expert knowledge, expressed as conditional probabilities, with real clinical data. This is crucial because the scarcity of data in the field of rare diseases prevents any approach based solely on clinical data. Finally we show that it is possible to integrate the ontological information about symptoms while remaining in our probabilistic reasoning. It enables our decision support tool to process information given at different level of precision by the user.Comment: 24 page

Differential Variable Speed Limits Control for Freeway Recurrent Bottlenecks via Deep Reinforcement learning

Variable speed limits (VSL) control is a flexible way to improve traffic condition,increase safety and reduce emission. There is an emerging trend of using reinforcement learning technique for VSL control and recent studies have shown promising results. Currently, deep learning is enabling reinforcement learning to develope autonomous control agents for problems that were previously intractable. In this paper, we propose a more effective deep reinforcement learning (DRL) model for differential variable speed limits (DVSL) control, in which the dynamic and different speed limits among lanes can be imposed. The proposed DRL models use a novel actor-critic architecture which can learn a large number of discrete speed limits in a continues action space. Different reward signals, e.g. total travel time, bottleneck speed, emergency braking, and vehicular emission are used to train the DVSL controller, and comparison between these reward signals are conducted. We test proposed DRL baased DVSL controllers on a simulated freeway recurrent bottleneck. Results show that the efficiency, safety and emissions can be improved by the proposed method. We also show some interesting findings through the visulization of the control policies generated from DRL models.Comment: 24 pages, 7 figures, 1 tabl

Applications of Deep Reinforcement Learning in Communications and Networking: A Survey

This paper presents a comprehensive literature review on applications of deep reinforcement learning in communications and networking. Modern networks, e.g., Internet of Things (IoT) and Unmanned Aerial Vehicle (UAV) networks, become more decentralized and autonomous. In such networks, network entities need to make decisions locally to maximize the network performance under uncertainty of network environment. Reinforcement learning has been efficiently used to enable the network entities to obtain the optimal policy including, e.g., decisions or actions, given their states when the state and action spaces are small. However, in complex and large-scale networks, the state and action spaces are usually large, and the reinforcement learning may not be able to find the optimal policy in reasonable time. Therefore, deep reinforcement learning, a combination of reinforcement learning with deep learning, has been developed to overcome the shortcomings. In this survey, we first give a tutorial of deep reinforcement learning from fundamental concepts to advanced models. Then, we review deep reinforcement learning approaches proposed to address emerging issues in communications and networking. The issues include dynamic network access, data rate control, wireless caching, data offloading, network security, and connectivity preservation which are all important to next generation networks such as 5G and beyond. Furthermore, we present applications of deep reinforcement learning for traffic routing, resource sharing, and data collection. Finally, we highlight important challenges, open issues, and future research directions of applying deep reinforcement learning.Comment: 37 pages, 13 figures, 6 tables, 174 reference paper

Reinforcement Learning

Reinforcement learning (RL) is a general framework for adaptive control, which has proven to be efficient in many domains, e.g., board games, video games or autonomous vehicles. In such problems, an agent faces a sequential decision-making problem where, at every time step, it observes its state, performs an action, receives a reward and moves to a new state. An RL agent learns by trial and error a good policy (or controller) based on observations and numeric reward feedback on the previously performed action. In this chapter, we present the basic framework of RL and recall the two main families of approaches that have been developed to learn a good policy. The first one, which is value-based, consists in estimating the value of an optimal policy, value from which a policy can be recovered, while the other, called policy search, directly works in a policy space. Actor-critic methods can be seen as a policy search technique where the policy value that is learned guides the policy improvement. Besides, we give an overview of some extensions of the standard RL framework, notably when risk-averse behavior needs to be taken into account or when rewards are not available or not known.Comment: Chapter in "A Guided Tour of Artificial Intelligence Research", Springe

Generating Text with Deep Reinforcement Learning

We introduce a novel schema for sequence to sequence learning with a Deep Q-Network (DQN), which decodes the output sequence iteratively. The aim here is to enable the decoder to first tackle easier portions of the sequences, and then turn to cope with difficult parts. Specifically, in each iteration, an encoder-decoder Long Short-Term Memory (LSTM) network is employed to, from the input sequence, automatically create features to represent the internal states of and formulate a list of potential actions for the DQN. Take rephrasing a natural sentence as an example. This list can contain ranked potential words. Next, the DQN learns to make decision on which action (e.g., word) will be selected from the list to modify the current decoded sequence. The newly modified output sequence is subsequently used as the input to the DQN for the next decoding iteration. In each iteration, we also bias the reinforcement learning's attention to explore sequence portions which are previously difficult to be decoded. For evaluation, the proposed strategy was trained to decode ten thousands natural sentences. Our experiments indicate that, when compared to a left-to-right greedy beam search LSTM decoder, the proposed method performed competitively well when decoding sentences from the training set, but significantly outperformed the baseline when decoding unseen sentences, in terms of BLEU score obtained.Comment: Accepted to the NIPS2015 Deep Reinforcement Learning Worksho

Intelligent Residential Energy Management System using Deep Reinforcement Learning

The rising demand for electricity and its essential nature in today's world calls for intelligent home energy management (HEM) systems that can reduce energy usage. This involves scheduling of loads from peak hours of the day when energy consumption is at its highest to leaner off-peak periods of the day when energy consumption is relatively lower thereby reducing the system's peak load demand, which would consequently result in lesser energy bills, and improved load demand profile. This work introduces a novel way to develop a learning system that can learn from experience to shift loads from one time instance to another and achieve the goal of minimizing the aggregate peak load. This paper proposes a Deep Reinforcement Learning (DRL) model for demand response where the virtual agent learns the task like humans do. The agent gets feedback for every action it takes in the environment; these feedbacks will drive the agent to learn about the environment and take much smarter steps later in its learning stages. Our method outperformed the state of the art mixed integer linear programming (MILP) for load peak reduction. The authors have also designed an agent to learn to minimize both consumers' electricity bills and utilities' system peak load demand simultaneously. The proposed model was analyzed with loads from five different residential consumers; the proposed method increases the monthly savings of each consumer by reducing their electricity bill drastically along with minimizing the peak load on the system when time shiftable loads are handled by the proposed method

Sample Efficiency in Sparse Reinforcement Learning: Or Your Money Back

Sparse rewards present a difficult problem in reinforcement learning and may be inevitable in certain domains with complex dynamics such as real-world robotics. Hindsight Experience Replay (HER) is a recent replay memory development that allows agents to learn in sparse settings by altering memories to show them as successful even though they may not be. While, empirically, HER has shown some success, it does not provide guarantees around the makeup of samples drawn from an agent's replay memory. This may result in minibatches that contain only memories with zero-valued rewards or agents learning an undesirable policy that completes HER-adjusted goals instead of the actual goal. In this paper, we introduce Or Your Money Back (OYMB), a replay memory sampler designed to work with HER. OYMB improves training efficiency in sparse settings by providing a direct interface to the agent's replay memory that allows for control over minibatch makeup, as well as a preferential lookup scheme that prioritizes real-goal memories before HER-adjusted memories. We test our approach on five tasks across three unique environments. Our results show that using HER in combination with OYMB outperforms using HER alone and leads to agents that learn to complete the real goal more quickly

Personalized Cancer Chemotherapy Schedule: a numerical comparison of performance and robustness in model-based and model-free scheduling methodologies

Reinforcement learning algorithms are gaining popularity in fields in which optimal scheduling is important, and oncology is not an exception. The complex and uncertain dynamics of cancer limit the performance of traditional model-based scheduling strategies like Optimal Control. Motivated by the recent success of model-free Deep Reinforcement Learning (DRL) in challenging control tasks and in the design of medical treatments, we use Deep Q-Network (DQN) and Deep Deterministic Policy Gradient (DDPG) to design a personalized cancer chemotherapy schedule. We show that both of them succeed in the task and outperform the Optimal Control solution in the presence of uncertainty. Furthermore, we show that DDPG can exterminate cancer more efficiently than DQN presumably due to its continuous action space. Finally, we provide some insight regarding the amount of samples required for the training.Comment: Minor change