Hierarchical reinforcement learning for trading agents

Autonomous software agents, the use of which has increased due to the recent growth in computer power, have considerably improved electronic commerce processes by facilitating automated trading actions between the market participants (sellers, brokers and buyers). The rapidly changing market environments pose challenges to the performance of such agents, which are generally developed for specific market settings. To this end, this thesis is concerned with designing agents that can gradually adapt to variable, dynamic and uncertain markets and that are able to reuse the acquired trading skills in new markets. This thesis proposes the use of reinforcement learning techniques to develop adaptive trading agents and puts forward a novel software architecture based on the semi-Markov decision process and on an innovative knowledge transfer framework. To evaluate my approach, the developed trading agents are tested in internationally well-known market simulations and their behaviours when buying or/and selling in the retail and wholesale markets are analysed. The proposed approach has been shown to improve the adaptation of the trading agent in a specific market as well as to enable the portability of the its knowledge in new markets

Advances in Reinforcement Learning

Reinforcement Learning (RL) is a very dynamic area in terms of theory and application. This book brings together many different aspects of the current research on several fields associated to RL which has been growing rapidly, producing a wide variety of learning algorithms for different applications. Based on 24 Chapters, it covers a very broad variety of topics in RL and their application in autonomous systems. A set of chapters in this book provide a general overview of RL while other chapters focus mostly on the applications of RL paradigms: Game Theory, Multi-Agent Theory, Robotic, Networking Technologies, Vehicular Navigation, Medicine and Industrial Logistic

State discovery for autonomous learning

Thesis (Ph. D.)--Massachusetts Institute of Technology, School of Architecture and Planning, Program in Media Arts and Sciences, 2002.Includes bibliographical references (p. 163-171).This thesis is devoted to the study of algorithms for early perceptual learning for an autonomous agent in the presence of feedback. In the framework of associative perceptual learning with indirect supervision, three learning techniques are examined in detail: * short-term on-line memory-based model learning; * long-term on-line distribution-based statistical estimation; * mixed on- and off-line continuous learning of gesture models. The three methods proceed within essentially the same framework, consisting of a perceptual sub-system and a sub-system that implements the associative mapping from perceptual categories to actions. The thesis contributes in several areas - it formulates the framework for solving incremental associative learning tasks; introduces the idea of incremental classification with utility, margin and boundary compression rules; develops a technique of sequence classification with Support Vector Machines; introduces an idea of weak transduction and offers an EM-based algorithm for solving it; proposes a mixed on- and off-line algorithm for learning continuous gesture with reward-based decomposition of the state space. The proposed framework facilitates the development of agents and human-computer interfaces that can be trained by a naive user. The work presented in this dissertation focuses on making these incremental learning algorithms practical.by Yuri A. Ivanov.Ph.D