This library contains several algorithms based on the Optimism in Face of Uncertainty (OFU) principle both for MDPs and SMDPs. In particular we have implemented

• UCRL [1]
• SMDP-UCRL and Free-Parameter SMDP-UCRL [2]
• SCAL [3]

All the implementations uses both Hoeffding's or Bernstein's confidence intervals.

Note that this is a research project and by definition is unstable. Please write to us if you find something not correct or strange.

References:

[1] Jaksch, Ortner, and Auer. Near-optimal regret bounds for reinforcement learning. Journal of Machine Learning Research, 11:1563–1600, 2010.

[2] Fruit, Pirotta, Lazaric, Brunskill. Regret Minimization in MDPs with Options without Prior Knowledge. NIPS 2017

[3] Fruit, Pirotta, Lazaric, Ortner. Efficient Bias-Span-Constrained Exploration-Exploitation in Reinforcement Learning. arXiv:1802.04020

• Matteo Pirotta (INRIA Lille - SequeL Team)
• Ronan Fruit (INRIA Lille - SequeL Team)

You can perform a minimal install of the library with:

git clone https://github.com/RonanFR/UCRL
cd UCRL
pip install -e .
make

For MAC OSX we suggest to use Anaconda and GCC.

We are using pytest for tests. You can run them via:

pytest

In order to reproduce the results in [3] you can follow these instructions. For SCAL, you can run the following command by changing the span constraint (5 and 10) and the seed (114364114, 679848179, 375341576, 340061651, 311346802). Results are averaged over 15 runs. You can change the number of repetitions by changing the parameter -r.

python ../example_resourcecollection.py --alg SCAL  --p_alpha 0.05 --r_alpha 0.05 --boundtype bernstein  -n 400000000 -r 3 --seed 114364114 --rep_offset 0 --path SCAL_KQ_c2 --span_constraint 10 --regret_steps 5000 --armor_collect_prob 0.01

For UCRL, you can run the same command by changing --alg to UCRL (the other parameters are the same and are ignored if not required by UCRL).

For a complete list of changes you can check UCRL/__init__.py.

• 2018-02-08: Release (v0.28.dev0)

  Contains SCAL and SCOPT (see Fruit, Pirotta, Lazaric, Ortner. Efficient Bias-Span-Constrained Exploration-Exploitation in Reinforcement Learning. arXiv:1802.04020)

• 2017-11-21: Release (v0.19.dev0)

  Added Span Constrained EVI

• 2017-11-16: Initial release (v0.15.dev0)

  Contains UCRL, SMDP-UCRL, Free-Parameter SMDP-UCRL (see Fruit, Pirotta, Lazaric, Brunskill. Regret Minimization in MDPs with Options without Prior Knowledge. NIPS 2017)