Zhengyao Jiang

Zhengyao Jiang, Pasquale Minervini, Minqi Jiang et al.

Although reinforcement learning has been successfully applied in many domains in recent years, we still lack agents that can systematically generalize. While relational inductive biases that fit a task can improve generalization of RL agents, these biases are commonly hard-coded directly in the agent's neural architecture. In this work, we show that we can incorporate relational inductive biases, encoded in the form of relational graphs, into agents. Based on this insight, we propose Grid-to-Graph (GTG), a mapping from grid structures to relational graphs that carry useful spatial relational inductive biases when processed through a Relational Graph Convolution Network (R-GCN). We show that, with GTG, R-GCNs generalize better both in terms of in-distribution and out-of-distribution compared to baselines based on Convolutional Neural Networks and Neural Logic Machines on challenging procedurally generated environments and MinAtar. Furthermore, we show that GTG produces agents that can jointly reason over observations and environment dynamics encoded in knowledge bases.

Zhengyao Jiang, Shan Luo

Deep reinforcement learning (DRL) has achieved significant breakthroughs in various tasks. However, most DRL algorithms suffer a problem of generalizing the learned policy which makes the learning performance largely affected even by minor modifications of the training environment. Except that, the use of deep neural networks makes the learned policies hard to be interpretable. To address these two challenges, we propose a novel algorithm named Neural Logic Reinforcement Learning (NLRL) to represent the policies in reinforcement learning by first-order logic. NLRL is based on policy gradient methods and differentiable inductive logic programming that have demonstrated significant advantages in terms of interpretability and generalisability in supervised tasks. Extensive experiments conducted on cliff-walking and blocks manipulation tasks demonstrate that NLRL can induce interpretable policies achieving near-optimal performance while demonstrating good generalisability to environments of different initial states and problem sizes.

Zhengyao Jiang, Dixing Xu, Jinjun Liang

Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine learning solution to the portfolio management problem. The framework consists of the Ensemble of Identical Independent Evaluators (EIIE) topology, a Portfolio-Vector Memory (PVM), an Online Stochastic Batch Learning (OSBL) scheme, and a fully exploiting and explicit reward function. This framework is realized in three instants in this work with a Convolutional Neural Network (CNN), a basic Recurrent Neural Network (RNN), and a Long Short-Term Memory (LSTM). They are, along with a number of recently reviewed or published portfolio-selection strategies, examined in three back-test experiments with a trading period of 30 minutes in a cryptocurrency market. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the best-known example of a cryptocurrency. All three instances of the framework monopolize the top three positions in all experiments, outdistancing other compared trading algorithms. Although with a high commission rate of 0.25% in the backtests, the framework is able to achieve at least 4-fold returns in 50 days.

Zhengyao Jiang, Jinjun Liang

Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the best-known example of a cryptocurrency. This paper presents a model-less convolutional neural network with historic prices of a set of financial assets as its input, outputting portfolio weights of the set. The network is trained with 0.7 years' price data from a cryptocurrency exchange. The training is done in a reinforcement manner, maximizing the accumulative return, which is regarded as the reward function of the network. Backtest trading experiments with trading period of 30 minutes is conducted in the same market, achieving 10-fold returns in 1.8 months' periods. Some recently published portfolio selection strategies are also used to perform the same back-tests, whose results are compared with the neural network. The network is not limited to cryptocurrency, but can be applied to any other financial markets.