强化学习读书笔记 - 06~07 - 时序差分学习(Temporal-Difference Learning)

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：

• 强化学习读书笔记 - 00 - 术语和数学符号

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

$$V(S_t) \gets V(S_t) + \alpha \delta_t \\ \delta_t = [G_t - V(S_t)] \\ where \\ \delta_t \text{ - Monte Carlo error} \\ \alpha \text{ - learning step size}$$

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)

$$V(S_t) \gets V(S_t) + \alpha \delta_t \\ \delta_t = [R_{t+1} + \gamma\ V(S_{t+1} - V(S_t)] \\ where \\ \delta_t \text{ - TD error} \\ \alpha \text{ - learning step size} \\ \gamma \text{ - reward discount rate}$$

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 $S_0 \ne terminal$
  $T \gets \infty$
  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 $T \gets t+1$
   $\tau \gets t - n + 1 \ $ ($\tau$ is the time whose state's estimate is being updated)
   If $\tau \ge 0$:
    $G \gets \sum_{i = \tau + 1}^{min(\tau + n, T)} \gamma^{i-\tau-1}R_i$
    if $\tau + n \le T$ then: $G \gets G + \gamma^{n}V(S_{\tau + n}) \qquad \qquad (G_{\tau}^{(n)})$
    $V(S_{\tau}) \gets V(S_{\tau}) + \alpha [G - V(S_{\tau})]$
  Until $\tau = T - 1$

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 $S_0 \ne terminal$
  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 $A_{t+1} \sim \pi(\dot \ | S_{t+1})$
   $\tau \gets t - n + 1 \ $ ($\tau$ is the time whose state's estimate is being updated)
   If $\tau \ge 0$:
    $G \gets \sum_{i = \tau + 1}^{min(\tau + n, T)} \gamma^{i-\tau-1}R_i$
    if $\tau + n \le T$ then: $G \gets G + \gamma^{n} Q(S_{\tau + n}, A_{\tau + n}) \qquad \qquad (G_{\tau}^{(n)})$
    $Q(S_{\tau}, A_{\tau}) \gets Q(S_{\tau}, A_{\tau}) + \alpha [G - Q(S_{\tau}, A_{\tau})]$
    If {\pi} is being learned, then ensure that $\pi(\dot \ | S_{\tau})$ is $\epsilon$-greedy wrt Q
  Until $\tau = T - 1$

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。

$$Q(S_t, A_t) \gets Q(S_t, A_t) + \alpha [R_{t+1} + \gamma \underset{a}{max} \ Q(S_{t+1}, a) - Q(S_t, A_t)]$$

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$\rho$带入到Sarsa算法中，形成一个off-policy的方法。
$\rho$ - 重要样本比率(importance sampling ratio)

$$\rho \gets \prod_{i = \tau + 1}^{min(\tau + n - 1, T -1 )} \frac{\pi(A_t|S_t)}{\mu(A_t|S_t)} \qquad \qquad (\rho_{\tau+n}^{(\tau+1)})$$

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 $S_0 \ne terminal$
  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 $A_{t+1} \sim \pi(\dot \ | S_{t+1})$
   $\tau \gets t - n + 1 \ $ ($\tau$ is the time whose state's estimate is being updated)
   If $\tau \ge 0$:
    $\rho \gets \prod_{i = \tau + 1}^{min(\tau + n - 1, T -1 )} \frac{\pi(A_t|S_t)}{\mu(A_t|S_t)} \qquad \qquad (\rho_{\tau+n}^{(\tau+1)})$
    $G \gets \sum_{i = \tau + 1}^{min(\tau + n, T)} \gamma^{i-\tau-1}R_i$
    if $\tau + n \le T$ then: $G \gets G + \gamma^{n} Q(S_{\tau + n}, A_{\tau + n}) \qquad \qquad (G_{\tau}^{(n)})$
    $Q(S_{\tau}, A_{\tau}) \gets Q(S_{\tau}, A_{\tau}) + \alpha \rho [G - Q(S_{\tau}, A_{\tau})]$
    If {\pi} is being learned, then ensure that $\pi(\dot \ | S_{\tau})$ is $\epsilon$-greedy wrt Q
  Until $\tau = T - 1$

Expected Sarsa

• 流程图

* 算法描述 略。

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 $S_0 \ne terminal$
  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 $A_{t+1}$
     $Q_{t+1} \gets Q(S_{t+1},A_{t+1})$
     $\pi_{t+1} \gets \pi(S_{t+1},A_{t+1})$
   $\tau \gets t - n + 1 \ $ ($\tau$ is the time whose state's estimate is being updated)
   If $\tau \ge 0$:
    $E \gets 1$
    $G \gets Q_{\tau}$
    For $k=\tau, \dots, min(\tau + n - 1, T - 1):$
     $G \gets\ G + E \delta_k$
     $E \gets\ \gamma E \pi_{k+1}$
    $Q(S_{\tau}, A_{\tau}) \gets Q(S_{\tau}, A_{\tau}) + \alpha [G - Q(S_{\tau}, A_{\tau})]$
    If {\pi} is being learned, then ensure that $\pi(a | S_{\tau})$ is $\epsilon$-greedy wrt $Q(S_{\tau},\dot \ )$
  Until $\tau = T - 1$

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 $S_0 \ne terminal$
  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 $\sigma_{t+1})$
     $Q_{t+1} \gets Q(S_{t+1},A_{t+1})$
     $\delta_t \gets R + \gamma \sigma_{t+1} Q_{t+1} + \gamma (1 - \sigma_{t+1})\sum_a \pi(a|S_{t+1})Q(S_{t+1},a) - Q_t$
     $\pi_{t+1} \gets \pi(S_{t+1},A_{t+1})$
     $\rho_{t+1} \gets \frac{\pi(A_{t+1}|S_{t+1})}{\mu(A_{t+1}|S_{t+1})}$
   $\tau \gets t - n + 1 \ $ ($\tau$ is the time whose state's estimate is being updated)
   If $\tau \ge 0$:
    $\rho \gets 1$
    $E \gets 1$
    $G \gets Q_{\tau}$
    For $k=\tau, \dots, min(\tau + n - 1, T - 1):$
     $G \gets\ G + E \delta_k$
     $E \gets\ \gamma E [(1 - \sigma_{k+1})\pi_{k+1} + \sigma_{k+1}]$
     $\rho \gets\ \rho(1 - \sigma_{k} + \sigma_{k}\tau_{k})$
    $Q(S_{\tau}, A_{\tau}) \gets Q(S_{\tau}, A_{\tau}) + \alpha \rho [G - Q(S_{\tau}, A_{\tau})]$
    If ${\pi}$ is being learned, then ensure that $\pi(a | S_{\tau})$ is $\epsilon$-greedy wrt $Q(S_{\tau},\dot \ )$
  Until $\tau = T - 1$

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。

参照

• Reinforcement Learning: An Introduction, Richard S. Sutton and Andrew G. Barto c 2014, 2015, 2016
• 强化学习读书笔记 - 00 - 术语和数学符号
• 强化学习读书笔记 - 01 - 强化学习的问题
• 强化学习读书笔记 - 02 - 多臂老O虎O机问题
• 强化学习读书笔记 - 03 - 有限马尔科夫决策过程
• 强化学习读书笔记 - 04 - 动态规划
• 强化学习读书笔记 - 05 - 蒙特卡洛方法(Monte Carlo Methods)