Many real-world decision problems are characterized by multiple conflicting
objectives which must be balanced based on their relative importance. In the
dynamic weights setting the relative importance changes over time and
specialized algorithms that deal with such change, such as a tabular
Reinforcement Learning (RL) algorithm by Natarajan and Tadepalli (2005), are
required. However, this earlier work is not feasible for RL settings that
necessitate the use of function approximators. We generalize across weight
changes and high-dimensional inputs by proposing a multi-objective Q-network
whose outputs are conditioned on the relative importance of objectives and we
introduce Diverse Experience Replay (DER) to counter the inherent
non-stationarity of the Dynamic Weights setting. We perform an extensive
experimental evaluation and compare our methods to adapted algorithms from Deep
Multi-Task/Multi-Objective Reinforcement Learning and show that our proposed
network in combination with DER dominates these adapted algorithms across
weight change scenarios and problem domains
