强化学习读书笔记 - 06~07 - 时序差分学习(Temporal-Difference Learning)
学习笔记：
Reinforcement Learning: An Introduction, Richard S. Sutton and Andrew G. Barto c 2014, 2015, 2016
数学符号看不懂的，先看看这里：
时序差分学习简话
时序差分学习结合了动态规划和蒙特卡洛方法，是强化学习的核心思想。
时序差分这个词不好理解。改为当时差分学习比较形象一些 - 表示通过当前的差分数据来学习。
蒙特卡洛的方法是模拟（或者经历）一段情节，在情节结束后，根据情节上各个状态的价值，来估计状态价值。
时序差分学习是模拟（或者经历）一段情节，每行动一步（或者几步），根据新状态的价值，然后估计执行前的状态价值。
可以认为蒙特卡洛的方法是最大步数的时序差分学习。
本章只考虑单步的时序差分学习。多步的时序差分学习在下一章讲解。
数学表示
根据我们已经知道的知识：如果可以计算出策略价值（(pi)状态价值(v_{pi}(s))，或者行动价值(q_{pi(s, a)})），就可以优化策略。
在蒙特卡洛方法中，计算策略的价值，需要完成一个情节(episode)，通过情节的目标价值(G_t)来计算状态的价值。其公式：
Formula MonteCarlo
时序差分的思想是通过下一个状态的价值计算状态的价值，形成一个迭代公式（又）：
Formula TD(0)
注：书上提出TD error并不精确，而Monte Carlo error是精确地。需要了解，在此并不拗述。
时序差分学习方法
本章介绍的是时序差分学习的单步学习方法。多步学习方法在下一章介绍。
- 策略状态价值(v_{pi})的时序差分学习方法(单步多步)
- 策略行动价值(q_{pi})的on-policy时序差分学习方法: Sarsa(单步多步)
- 策略行动价值(q_{pi})的off-policy时序差分学习方法: Q-learning(单步)
- Double Q-learning(单步)
- 策略行动价值(q_{pi})的off-policy时序差分学习方法(带importance sampling): Sarsa(多步)
- 策略行动价值(q_{pi})的off-policy时序差分学习方法(不带importance sampling): Tree Backup Algorithm(多步)
- 策略行动价值(q_{pi})的off-policy时序差分学习方法: (Q(sigma))(多步)
策略状态价值(v_{pi})的时序差分学习方法
单步时序差分学习方法TD(0)
- 流程图
- 算法描述
Initialize (V(s)) arbitrarily (forall s in mathcal{S}^+)
Repeat (for each episode):
Initialize (mathcal{S})
Repeat (for each step of episode):
(A gets) action given by (pi) for (S)
Take action (A), observe (R, S')
(V(S) gets V(S) + alpha [R + gamma V(S') - V(S)])
(S gets S')
Until S is terminal
多步时序差分学习方法
- 流程图
- 算法描述
Input: the policy (pi) to be evaluated
Initialize (V(s)) arbitrarily (forall s in mathcal{S})
Parameters: step size (alpha in (0, 1]), a positive integer (n)
All store and access operations (for (S_t) and (R_t)) can take their index mod (n)Repeat (for each episode):
Initialize and store (S_0 e terminal)
(T gets infty)
For (t = 0,1,2,cdots):
If (t < T), then:
Take an action according to (pi(dot | S_t))
Observe and store the next reward as (R_{t+1}) and the next state as (S_{t+1})
If (S_{t+1}) is terminal, then (T gets t+1)
$ au gets t - n + 1 $ (( au) is the time whose state's estimate is being updated)
If ( au ge 0):
(G gets sum_{i = au + 1}^{min( au + n, T)} gamma^{i- au-1}R_i)
if ( au + n le T) then: (G gets G + gamma^{n}V(S_{ au + n}) qquad qquad (G_{ au}^{(n)}))
(V(S_{ au}) gets V(S_{ au}) + alpha [G - V(S_{ au})])
Until ( au = T - 1)
这里要理解(V(S_0))是由(V(S_0), V(S_1), dots, V(S_n))计算所得；(V(S_1))是由(V(S_1), V(S_1), dots, V(S_{n+1}))。
策略行动价值(q_{pi})的on-policy时序差分学习方法: Sarsa
单步时序差分学习方法
- 流程图
- 算法描述
Initialize (Q(s, a), forall s in mathcal{S}, a in mathcal{A}(s)) arbitrarily, and (Q(terminal, dot ) = 0)
Repeat (for each episode):
Initialize (mathcal{S})
Choose (A) from (S) using policy derived from (Q) (e.g. (epsilon-greedy))
Repeat (for each step of episode):
Take action (A), observe (R, S')
Choose (A') from (S') using policy derived from (Q) (e.g. (epsilon-greedy))
(Q(S, A) gets Q(S, A) + alpha [R + gamma Q(S', A') - Q(S, A)])
(S gets S'; A gets A';)
Until S is terminal
多步时序差分学习方法
- 流程图
- 算法描述
Initialize (Q(s, a)) arbitrarily (forall s in mathcal{S}^, forall a in mathcal{A})
Initialize (pi) to be (epsilon)-greedy with respect to Q, or to a fixed given policy
Parameters: step size (alpha in (0, 1]),
small (epsilon > 0)
a positive integer (n)
All store and access operations (for (S_t) and (R_t)) can take their index mod (n)Repeat (for each episode):
Initialize and store (S_0 e terminal)
Select and store an action (A_0 sim pi(dot | S_0))
(T gets infty)
For (t = 0,1,2,cdots):
If (t < T), then:
Take an action (A_t)
Observe and store the next reward as (R_{t+1}) and the next state as (S_{t+1})
If (S_{t+1}) is terminal, then:
(T gets t+1)
Else:
Select and store an action (A_{t+1} sim pi(dot | S_{t+1}))
$ au gets t - n + 1 $ (( au) is the time whose state's estimate is being updated)
If ( au ge 0):
(G gets sum_{i = au + 1}^{min( au + n, T)} gamma^{i- au-1}R_i)
if ( au + n le T) then: (G gets G + gamma^{n} Q(S_{ au + n}, A_{ au + n}) qquad qquad (G_{ au}^{(n)}))
(Q(S_{ au}, A_{ au}) gets Q(S_{ au}, A_{ au}) + alpha [G - Q(S_{ au}, A_{ au})])
If {pi} is being learned, then ensure that (pi(dot | S_{ au})) is (epsilon)-greedy wrt Q
Until ( au = T - 1)
策略行动价值(q_{pi})的off-policy时序差分学习方法: Q-learning
Q-learning 算法（Watkins, 1989）是一个突破性的算法。这里利用了这个公式进行off-policy学习。
单步时序差分学习方法
- 算法描述
Initialize (Q(s, a), forall s in mathcal{S}, a in mathcal{A}(s)) arbitrarily, and (Q(terminal, dot ) = 0)
Repeat (for each episode):
Initialize (mathcal{S})
Choose (A) from (S) using policy derived from (Q) (e.g. (epsilon-greedy))
Repeat (for each step of episode):
Take action (A), observe (R, S')
(Q(S, A) gets Q(S, A) + alpha [R + gamma underset{a}{max} Q(S‘, a) - Q(S, A)])
(S gets S';)
Until S is terminal
- Q-learning使用了max，会引起一个最大化偏差(Maximization Bias)问题。
具体说明，请看书上的Example 6.7。**
使用Double Q-learning可以消除这个问题。
Double Q-learning
单步时序差分学习方法
Initialize (Q_1(s, a)) and (Q_2(s, a), forall s in mathcal{S}, a in mathcal{A}(s)) arbitrarily
Initialize (Q_1(terminal, dot ) = Q_2(terminal, dot ) = 0)
Repeat (for each episode):
Initialize (mathcal{S})
Repeat (for each step of episode):
Choose (A) from (S) using policy derived from (Q_1) and (Q_2) (e.g. (epsilon-greedy))
Take action (A), observe (R, S')
With 0.5 probability:
(Q_1(S, A) gets Q_1(S, A) + alpha [R + gamma Q_2(S', underset{a}{argmax} Q_1(S', a)) - Q_1(S, A)])
Else:
(Q_2(S, A) gets Q_2(S, A) + alpha [R + gamma Q_1(S', underset{a}{argmax} Q_2(S', a)) - Q_2(S, A)])
(S gets S';)
Until S is terminal
策略行动价值(q_{pi})的off-policy时序差分学习方法(by importance sampling): Sarsa
考虑到重要样本，把(
ho)带入到Sarsa算法中，形成一个off-policy的方法。
(
ho) - 重要样本比率(importance sampling ratio)
多步时序差分学习方法
- 算法描述
Input: behavior policy mu such that (mu(a|s) > 0，forall s in mathcal{S}, a in mathcal{A})
Initialize (Q(s，a)) arbitrarily (forall s in mathcal{S}^, forall a in mathcal{A})
Initialize (pi) to be (epsilon)-greedy with respect to Q, or to a fixed given policy
Parameters: step size (alpha in (0, 1]),
small (epsilon > 0)
a positive integer (n)
All store and access operations (for (S_t) and (R_t)) can take their index mod (n)Repeat (for each episode):
Initialize and store (S_0 e terminal)
Select and store an action (A_0 sim mu(dot | S_0))
(T gets infty)
For (t = 0,1,2,cdots):
If (t < T), then:
Take an action (A_t)
Observe and store the next reward as (R_{t+1}) and the next state as (S_{t+1})
If (S_{t+1}) is terminal, then:
(T gets t+1)
Else:
Select and store an action (A_{t+1} sim pi(dot | S_{t+1}))
$ au gets t - n + 1 $ (( au) is the time whose state's estimate is being updated)
If ( au ge 0):
( ho gets prod_{i = au + 1}^{min( au + n - 1, T -1 )} frac{pi(A_t|S_t)}{mu(A_t|S_t)} qquad qquad ( ho_{ au+n}^{( au+1)}))
(G gets sum_{i = au + 1}^{min( au + n, T)} gamma^{i- au-1}R_i)
if ( au + n le T) then: (G gets G + gamma^{n} Q(S_{ au + n}, A_{ au + n}) qquad qquad (G_{ au}^{(n)}))
(Q(S_{ au}, A_{ au}) gets Q(S_{ au}, A_{ au}) + alpha ho [G - Q(S_{ au}, A_{ au})])
If {pi} is being learned, then ensure that (pi(dot | S_{ au})) is (epsilon)-greedy wrt Q
Until ( au = T - 1)
Expected Sarsa
- 流程图
策略行动价值(q_{pi})的off-policy时序差分学习方法(不带importance sampling): Tree Backup Algorithm
Tree Backup Algorithm的思想是每步都求行动价值的期望值。
求行动价值的期望值意味着对所有可能的行动(a)都评估一次。
多步时序差分学习方法
- 流程图
- 算法描述
Initialize (Q(s，a)) arbitrarily (forall s in mathcal{S}^, forall a in mathcal{A})
Initialize (pi) to be (epsilon)-greedy with respect to Q, or to a fixed given policy
Parameters: step size (alpha in (0, 1]),
small (epsilon > 0)
a positive integer (n)
All store and access operations (for (S_t) and (R_t)) can take their index mod (n)Repeat (for each episode):
Initialize and store (S_0 e terminal)
Select and store an action (A_0 sim pi(dot | S_0))
(Q_0 gets Q(S_0, A_0))
(T gets infty)
For (t = 0,1,2,cdots):
If (t < T), then:
Take an action (A_t)
Observe and store the next reward as (R_{t+1}) and the next state as (S_{t+1})
If (S_{t+1}) is terminal, then:
(T gets t+1)
(delta_t gets R - Q_t)
Else:
(delta_t gets R + gamma sum_a pi(a|S_{t+1})Q(S_{t+1},a) - Q_t)
Select arbitrarily and store an action as (A_{t+1})
(Q_{t+1} gets Q(S_{t+1},A_{t+1}))
(pi_{t+1} gets pi(S_{t+1},A_{t+1}))
$ au gets t - n + 1 $ (( au) is the time whose state's estimate is being updated)
If ( au ge 0):
(E gets 1)
(G gets Q_{ au})
For (k= au, dots, min( au + n - 1, T - 1):)
(G gets G + E delta_k)
(E gets gamma E pi_{k+1})
(Q(S_{ au}, A_{ au}) gets Q(S_{ au}, A_{ au}) + alpha [G - Q(S_{ au}, A_{ au})])
If {pi} is being learned, then ensure that (pi(a | S_{ au})) is (epsilon)-greedy wrt (Q(S_{ au},dot ))
Until ( au = T - 1)
策略行动价值(q_{pi})的off-policy时序差分学习方法: (Q(sigma))
(Q(sigma))结合了Sarsa(importance sampling), Expected Sarsa, Tree Backup算法，并考虑了重要样本。
当(sigma = 1)时，使用了重要样本的Sarsa算法。
当(sigma = 0)时，使用了Tree Backup的行动期望值算法。
多步时序差分学习方法
- 流程图
- 算法描述
Input: behavior policy mu such that (mu(a|s) > 0，forall s in mathcal{S}, a in mathcal{A})
Initialize (Q(s，a)) arbitrarily forall s in mathcal{S}^, forall a in mathcal{A}$
Initialize (pi) to be (epsilon)-greedy with respect to Q, or to a fixed given policy
Parameters: step size (alpha in (0, 1]),
small (epsilon > 0)
a positive integer (n)
All store and access operations (for (S_t) and (R_t)) can take their index mod (n)Repeat (for each episode):
Initialize and store (S_0 e terminal)
Select and store an action (A_0 sim mu(dot | S_0))
(Q_0 gets Q(S_0, A_0))
(T gets infty)
For (t = 0,1,2,cdots):
If (t < T), then:
Take an action (A_t)
Observe and store the next reward as (R_{t+1}) and the next state as (S_{t+1})
If (S_{t+1}) is terminal, then:
(T gets t+1)
(delta_t gets R - Q_t)
Else:
Select and store an action as (A_{t+1} sim mu(dot |S_{t+1}))
Select and store (sigma_{t+1}))
(Q_{t+1} gets Q(S_{t+1},A_{t+1}))
(delta_t gets R + gamma sigma_{t+1} Q_{t+1} + gamma (1 - sigma_{t+1})sum_a pi(a|S_{t+1})Q(S_{t+1},a) - Q_t)
(pi_{t+1} gets pi(S_{t+1},A_{t+1}))
( ho_{t+1} gets frac{pi(A_{t+1}|S_{t+1})}{mu(A_{t+1}|S_{t+1})})
$ au gets t - n + 1 $ (( au) is the time whose state's estimate is being updated)
If ( au ge 0):
( ho gets 1)
(E gets 1)
(G gets Q_{ au})
For (k= au, dots, min( au + n - 1, T - 1):)
(G gets G + E delta_k)
(E gets gamma E [(1 - sigma_{k+1})pi_{k+1} + sigma_{k+1}])
( ho gets ho(1 - sigma_{k} + sigma_{k} au_{k}))
(Q(S_{ au}, A_{ au}) gets Q(S_{ au}, A_{ au}) + alpha ho [G - Q(S_{ au}, A_{ au})])
If ({pi}) is being learned, then ensure that (pi(a | S_{ au})) is (epsilon)-greedy wrt (Q(S_{ au},dot ))
Until ( au = T - 1)
总结
时序差分学习方法的限制：学习步数内，可获得奖赏信息。
比如，国际象棋的每一步，是否可以计算出一个奖赏信息？如果使用蒙特卡洛方法，模拟到游戏结束，肯定是可以获得一个奖赏结果的。