Continuous Episodic Control

Non-parametric episodic memory can be used to quickly latch onto high-reward experience in reinforcement learning tasks. In contrast to parametric deep reinforcement learning approaches, these methods only need to discover the solution once, and may then repeatedly solve the task. However, episodic control solutions are stored in discrete tables, and this approach has so far only been applied to discrete action space problems. Therefore, this paper introduces Continuous Episodic Control (CEC), a novel non-parametric episodic memory algorithm for sequential decision making in problems with a continuous action space. Results on several sparse-reward continuous control environments show that our proposed method learns faster than state-of-the-art model-free RL and memory-augmented RL algorithms, while maintaining good long-run performance as well. In short, CEC can be a fast approach for learning in continuous control tasks, and a useful addition to parametric RL methods in a hybrid approach as well

CompILE: Compositional Imitation Learning and Execution

We introduce Compositional Imitation Learning and Execution (CompILE): a framework for learning reusable, variable-length segments of hierarchically-structured behavior from demonstration data. CompILE uses a novel unsupervised, fully-differentiable sequence segmentation module to learn latent encodings of sequential data that can be re-composed and executed to perform new tasks. Once trained, our model generalizes to sequences of longer length and from environment instances not seen during training. We evaluate CompILE in a challenging 2D multi-task environment and a continuous control task, and show that it can find correct task boundaries and event encodings in an unsupervised manner. Latent codes and associated behavior policies discovered by CompILE can be used by a hierarchical agent, where the high-level policy selects actions in the latent code space, and the low-level, task-specific policies are simply the learned decoders. We found that our CompILE-based agent could learn given only sparse rewards, where agents without task-specific policies struggle.Comment: ICML (2019

Learn Continuously, Act Discretely: Hybrid Action-Space Reinforcement Learning For Optimal Execution

Optimal execution is a sequential decision-making problem for cost-saving in algorithmic trading. Studies have found that reinforcement learning (RL) can help decide the order-splitting sizes. However, a problem remains unsolved: how to place limit orders at appropriate limit prices? The key challenge lies in the "continuous-discrete duality" of the action space. On the one hand, the continuous action space using percentage changes in prices is preferred for generalization. On the other hand, the trader eventually needs to choose limit prices discretely due to the existence of the tick size, which requires specialization for every single stock with different characteristics (e.g., the liquidity and the price range). So we need continuous control for generalization and discrete control for specialization. To this end, we propose a hybrid RL method to combine the advantages of both of them. We first use a continuous control agent to scope an action subset, then deploy a fine-grained agent to choose a specific limit price. Extensive experiments show that our method has higher sample efficiency and better training stability than existing RL algorithms and significantly outperforms previous learning-based methods for order execution

Soft Decomposed Policy-Critic: Bridging the Gap for Effective Continuous Control with Discrete RL

Discrete reinforcement learning (RL) algorithms have demonstrated exceptional performance in solving sequential decision tasks with discrete action spaces, such as Atari games. However, their effectiveness is hindered when applied to continuous control problems due to the challenge of dimensional explosion. In this paper, we present the Soft Decomposed Policy-Critic (SDPC) architecture, which combines soft RL and actor-critic techniques with discrete RL methods to overcome this limitation. SDPC discretizes each action dimension independently and employs a shared critic network to maximize the soft $Q$-function. This novel approach enables SDPC to support two types of policies: decomposed actors that lead to the Soft Decomposed Actor-Critic (SDAC) algorithm, and decomposed $Q$-networks that generate Boltzmann soft exploration policies, resulting in the Soft Decomposed-Critic Q (SDCQ) algorithm. Through extensive experiments, we demonstrate that our proposed approach outperforms state-of-the-art continuous RL algorithms in a variety of continuous control tasks, including Mujoco's Humanoid and Box2d's BipedalWalker. These empirical results validate the effectiveness of the SDPC architecture in addressing the challenges associated with continuous control