Bert Verbruggen

Dominik Baumann, Erfaun Noorani, Arsenii Mustafin et al.

In reinforcement learning, we typically aim to optimize the expected value of the sum of rewards an agent collects over a trajectory. However, if the process generating these rewards is non-ergodic, the expected value, i.e., the average over infinitely many trajectories with a given policy, is uninformative for the average over a single, but infinitely long trajectory. Thus, if we care about how the individual agent performs during deployment, the expected value is not a good optimization objective. In this paper, we discuss the impact of non-ergodic reward processes on reinforcement learning agents through an instructive example, relate the notion of ergodic reward processes to more widely used notions of ergodic Markov chains, and present existing solutions that optimize long-term performance of individual trajectories under non-ergodic reward dynamics.

Bert Verbruggen, Arne Vanhoyweghen, Vincent Ginis

Reinforcement Learning (RL) remains a central optimisation framework in machine learning. Although RL agents can converge to optimal solutions, the definition of ``optimality'' depends on the environment's statistical properties. The Bellman equation, central to most RL algorithms, is formulated in terms of expected values of future rewards. However, when ergodicity is broken, long-term outcomes depend on the specific trajectory rather than on the ensemble average. In such settings, the ensemble average diverges from the time-average growth experienced by individual agents, with expected-value formulations yielding systematically suboptimal policies. Prior studies demonstrated that traditional RL architectures fail to recover the true optimum in non-ergodic environments. We extend this analysis to deep RL implementations and show that these, too, produce suboptimal policies under non-ergodic dynamics. Introducing explicit time dependence into the learning process can correct this limitation. By allowing the network's function approximation to incorporate temporal information, the agent can estimate value functions consistent with the process's intrinsic growth rate. This improvement does not require altering the environmental feedback, such as reward transformations or modified objective functions, but arises naturally from the agent's exposure to temporal trajectories. Our results contribute to the growing body of research on reinforcement learning methods for non-ergodic systems.