Overview of REINFORCE (Monte Carlo Policy Gradient), its algorithm and examples of implementation

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Overview of REINFORCE (Monte Carlo Policy Gradient)

REINFORCE (or Monte Carlo Policy Gradient) is a type of reinforcement learning and a policy gradient method. REINFORCE is a method for directly learning policies and finding optimal action selection strategies. The following is an overview of REINFORCE.

1 Policy Gradient Method:

REINFORCE is a type of policy gradient method, which updates the parameters of a policy (a strategy that maps actions from states) and aims to find the strategy that maximizes reward.

2. Monte Carlo Evaluation:

REINFORCE uses Monte Carlo evaluation to assess the performance of measures. The performance of a strategy is estimated by running multiple episodes and calculating the sum of the rewards in each episode.

3. policy gradient:

REINFORCE updates policies by calculating policy gradients based on the policy gradient method. Specifically, it calculates the probability gradient of an action in each state within each episode and updates the policy with the product of the reward and the gradient, whereby actions in high reward states are enhanced and actions in low reward states are weakened.

4. policy update: 

Once the gradient has been calculated, the policy parameters are updated. Usually, the gradient is updated using the gradient ascent method, updating the strategy in the direction that maximizes the expected value of the reward.

5. episode-based learning:

REINFORCE is an episode-based learning method that alternates between executing episodes and updating measures. By doing so, the strategy is improved and the goal is to find the optimal strategy.

REINFORCE is one of the basic algorithms of the gradient method and is a method that can reliably improve a strategy. However, it is an episode-based learning method, which requires many episodes before convergence, and its unstable convergence is one of its drawbacks. Therefore, more efficient and stable policy gradient methods have been developed.

Algorithm used for REINFORCE (Monte Carlo Policy Gradient)

The REINFORCE (Monte Carlo Policy Gradient) algorithm is a type of policy gradient method, which is used to directly learn policies and find optimal policies in reinforcement learning tasks. The basic steps of the REINFORCE algorithm are described below.

1 Initialization:

  • Initialize the policy parameters \(\theta\).
  • Prepare an empty list to record the reward for each episode.

2. Episode iteration: 

Repeat the following steps for each episode:

2.1. data collection in the environment:

    • Select an action in the environment according to the current measure (pi_{theta}) to receive the next state and reward.
    • Record the state, the selected action, and the reward.

2.2. accumulation of rewards:

    • The rewards at each step in the episode are accumulated to calculate the Return for the entire episode.

2.3. calculation of policy gradient:

    • The policy gradient is calculated for each step in the episode. The slope of the strategy at each step is calculated as follows: [nabla J(theta)

\[\nabla J(\theta) = \sum_{t=0}^{T} \nabla \log \pi_{\theta}(a_t|s_t) \cdot G_t\]

where \(J(\theta)\) represents the expected return on the policy, \(s_t\) is the state, \(a_t\) is the action, and \(G_t\) is the return.

2.4 Policy Update:

    • The policy parameters \(\theta\) are updated according to the policy gradient. Usually, the updating is done using the gradient ascent method, updating the strategy in the direction that maximizes the expected value of the reward.

3. checking for termination conditions:

The algorithm terminates when the convergence condition is met or after a certain number of episodes.

REINFORCE is a basic form of the policy gradient method and converges reliably, but because it is an episode-based method, many episodes are required before convergence. It is also inefficient for high-dimensional state and action spaces. Therefore, improved and highly efficient policy gradient methods have been proposed.

Example implementation of REINFORCE (Monte Carlo Policy Gradient)

An example implementation of REINFORCE (Monte Carlo Policy Gradient) is shown below. The following is a simple example of Python code that implements the REINFORCE algorithm in OpenAI Gym’s CartPole environment. The code provides a basic sketch of the REINFORCE algorithm.

import numpy as np
import tensorflow as tf
import gym

# Setup of cartopole environment
env = gym.make('CartPole-v1')
state_dim = env.observation_space.shape[0]
n_actions = env.action_space.n

# Define the architecture of the neural network
model = tf.keras.Sequential([
    tf.keras.layers.Dense(32, activation='relu', input_shape=(state_dim,)),
    tf.keras.layers.Dense(32, activation='relu'),
    tf.keras.layers.Dense(n_actions, activation='softmax')
])

optimizer = tf.keras.optimizers.Adam(learning_rate=0.01)

# Learning Parameters
num_episodes = 1000
discount_factor = 0.99
episode_history = []

for episode in range(num_episodes):
    state = env.reset()
    episode_states, episode_actions, episode_rewards = [], [], []

    while True:
        action_probs = model.predict(state.reshape(1, -1))
        action = np.random.choice(n_actions, p=action_probs.ravel())
        next_state, reward, done, _ = env.step(action)

        episode_states.append(state)
        episode_actions.append(action)
        episode_rewards.append(reward)

        if done:
            break
        state = next_state

    # Calculate episode earnings
    G = 0
    returns = []
    for t in range(len(episode_rewards) - 1, -1, -1):
        G = episode_rewards[t] + discount_factor * G
        returns.insert(0, G)

    # REINFORCE Update
    with tf.GradientTape() as tape:
        action_masks = tf.one_hot(episode_actions, n_actions)
        log_action_probs = tf.math.log(tf.reduce_sum(action_probs * action_masks, axis=1))
        loss = -tf.reduce_sum(log_action_probs * tf.convert_to_tensor(returns, dtype=tf.float32))
    
    grads = tape.gradient(loss, model.trainable_variables)
    optimizer.apply_gradients(zip(grads, model.trainable_variables))

    episode_history.append(sum(episode_rewards))

    if (episode + 1) % 10 == 0:
        print(f"Episode {episode + 1}: Total Reward - {episode_history[-1]}")

env.close()

This code will be an example of implementing the REINFORCE algorithm using TensorFlow and training it in the CartPole environment. Following the steps of the algorithm, policy updates and episode runs are alternated, and since REINFORCE is an episode-based learning algorithm, many episodes are required for convergence. In addition, the actual application involves hyperparameter adjustment and reward preprocessing.

Challenge for REINFORCE (Monte Carlo Policy Gradient)

REINFORCE (Monte Carlo Policy Gradient) is one of the effective policy gradient methods, but there are some challenges and limitations. The main challenges of REINFORCE are described below.

1. high variance:

Because REINFORCE uses Monte Carlo sampling to update policies, the learning tends to have a high variance due to high noise from reward sampling. This increases learning instability and convergence time.

2. low efficiency:

REINFORCE requires a complete episode run for each episode. This reduces the efficiency of learning and can be very inefficient for high-dimensional state and action spaces.

3. delayed reward:

REINFORCE updates the reward obtained at the end of an episode for all previous states and actions. This can cause a delay in rewards and a delay in policy updates.

4. fixed measures:

REINFORCE updates measures sequentially, but once a measure is updated, the data for that measure cannot be reused. Therefore, new measures may depend on old data.

5. convergence to a locally optimal solution:

REINFORCE tends to converge to a local optimal solution, and convergence to a globally optimal solution can be difficult.

To address these issues, improved versions of REINFORCE and derived algorithms have been proposed. For example, the introduction of baseline functions, parameterization of measures, and the use of highly efficient algorithms (TRPO, PPO, etc.) have been considered, and these methods contribute to improving the performance and stability of REINFORCE. Hyperparameterization and reward function design are also important when using REINFORCE.

Addressing the Challenge for REINFORCE (Monte Carlo Policy Gradient)

Several improvements and derived algorithms have been proposed to address the challenges of the REINFORCE (Monte Carlo Policy Gradient) algorithm. The following is a description of measures to address the main challenges of REINFORCE.

1. variance reduction:

To address the issue of high variance, a baseline function may be introduced. The baseline function approximates the expected value of returns and serves to reduce the variance of the policy gradient. Common baselines used are the state value function (V-function) and the advantage function.

2. highly efficient learning:

In order to achieve efficient learning, the PPO described in “Overview of Proximal Policy Optimization (PPO), an improved version of the policy gradient method, and examples of its algorithm and implementation” and TRPO described in “Overview of Trust Region Policy Optimization (TRPO), Algorithms, and Examples of Implementations“. These algorithms improve sample efficiency and reduce variance.

3. reward delay mitigation:

To reduce reward latency, one may use algorithms such as A3C, a modified version of REINFORCE, described in “Overview of A3C (Asynchronous Advantage Actor-Critic), Algorithms, and Examples of Implementations“. These algorithms introduce an advantage function to better discount rewards and learn measures efficiently.

4 Measure Update Frequency:

The frequency of policy updates can be adjusted to reduce variance and improve learning stability. Since high update frequency tends to increase the variance, it is important to choose an appropriate update frequency.

5. search acceleration:

REINFORCE is prone to under-exploration due to the stochastic nature of policy changes, and to address this, an entropy term may be added to the objective function to facilitate policy exploration.

6. designing complex reward functions:

In complex tasks, the design of the reward function is difficult. Proper design of the reward and preprocessing of the reward function can help improve learning efficiency.

References and Reference Books

Details of reinforcement learning are described in “Theories and Algorithms of Various Reinforcement Learning Techniques and Their Python Implementations. Please also refer to this page.

A reference book is “Reinforcement Learning: An Introduction, Second Edition.

Deep Reinforcement Learning with Python: With PyTorch, TensorFlow and OpenAI Gym

Reinforcement Learning: Theory and Python Implementation

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