HKU HKU Dept of Statistics & Actuarial Science, HKU
 
 

Seminar by Dr. Chengchun SHI from the London School of Economics and Political Science, UK


DateMonday, August 8, 2022
Time10:00 a.m. – 11:00 a.m.
VenueRoom 301, Run Run Shaw Building, HKU
 
TitleReinforcement Learning in possibly nonstationary environment
Abstract

We consider reinforcement learning (RL) methods in offline nonstationary environments. Many existing RL algorithms in the literature rely on the stationarity assumption that requires the system transition and the reward function to be constant over time. However, the stationarity assumption is restrictive in practice and is likely to be violated in a number of applications, including traffic signal control, robotics and mobile health. In this project, we develop a consistent procedure to test the nonstationarity of the optimal policy based on pre-collected historical data, without additional online data collection. Based on the proposed test, we further develop a sequential change point detection method that can be naturally coupled with existing state-of-the-art RL methods for policy optimisation in nonstationary environments. The usefulness of our method is illustrated by theoretical results, simulation studies, and real data examples. A Python implementation of the proposed procedure is available at https://github.com/limengbinggz/CUSUM-RL

About the speaker

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