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Robust offline reinforcement learning with heavy-tailed rewards

Author

Listed:
  • Zhu, Jin
  • Wan, Runzhe
  • Qi, Zhengling
  • Luo, Shikai
  • Shi, Chengchun

Abstract

This paper endeavors to augment the robustness of offline reinforcement learning (RL) in scenarios laden with heavy-tailed rewards, a prevalent circumstance in real-world applications. We propose two algorithmic frameworks, ROAM and ROOM, for robust off-policy evaluation and offline policy optimization (OPO), respectively. Central to our frameworks is the strategic incorporation of the median-of-means method with offline RL, enabling straightforward uncertainty estimation for the value function estimator. This not only adheres to the principle of pessimism in OPO but also adeptly manages heavytailed rewards. Theoretical results and extensive experiments demonstrate that our two frameworks outperform existing methods on the logged dataset exhibits heavytailed reward distributions. The implementation of the proposal is available at https://github.com/Mamba413/ROOM.

Suggested Citation

  • Zhu, Jin & Wan, Runzhe & Qi, Zhengling & Luo, Shikai & Shi, Chengchun, 2024. "Robust offline reinforcement learning with heavy-tailed rewards," LSE Research Online Documents on Economics 122740, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:122740
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    File URL: http://eprints.lse.ac.uk/122740/
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    References listed on IDEAS

    as
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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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