Reinforcement Learning in Non-Stationary Environments

• Published in: arXiv.org 2020-05
• Main Authors: Padakandla, Sindhu, Prabuchandran, K J, Bhatnagar, Shalabh
• Format: Article
• Language: English
• Subjects: Algorithms; Change detection; Decisions; Energy management; Machine learning; Markov processes; Nonstationary environments; Optimization; Robot control; Robotics; Signal processing; Traffic control; Traffic signals
• ISSN: 2331-8422
• DOI: 10.48550/arxiv.1905.03970

Reinforcement learning (RL) methods learn optimal decisions in the presence of a stationary environment. However, the stationary assumption on the environment is very restrictive. In many real world problems like traffic signal control, robotic applications, one often encounters situations with non-stationary environments and in these scenarios, RL methods yield sub-optimal decisions. In this paper, we thus consider the problem of developing RL methods that obtain optimal decisions in a non-stationary environment. The goal of this problem is to maximize the long-term discounted reward achieved when the underlying model of the environment changes over time. To achieve this, we first adapt a change point algorithm to detect change in the statistics of the environment and then develop an RL algorithm that maximizes the long-run reward accrued. We illustrate that our change point method detects change in the model of the environment effectively and thus facilitates the RL algorithm in maximizing the long-run reward. We further validate the effectiveness of the proposed solution on non-stationary random Markov decision processes, a sensor energy management problem and a traffic signal control problem.