Exploration versus exploitation in reinforcement learning: a stochastic control approach
This work provides a theoretical justification for Gaussian exploration in RL, addressing a fundamental problem for researchers and practitioners in reinforcement learning, though it is incremental as it builds on classical stochastic control.
The paper tackles the exploration-exploitation trade-off in reinforcement learning by proposing an entropy-regularized reward function and an exploratory formulation for feature dynamics, showing that the optimal control distribution is Gaussian, which justifies Gaussian exploration and quantifies the cost of exploration as proportional to the entropy weight and inversely proportional to the discount rate.
We consider reinforcement learning (RL) in continuous time and study the problem of achieving the best trade-off between exploration of a black box environment and exploitation of current knowledge. We propose an entropy-regularized reward function involving the differential entropy of the distributions of actions, and motivate and devise an exploratory formulation for the feature dynamics that captures repetitive learning under exploration. The resulting optimization problem is a revitalization of the classical relaxed stochastic control. We carry out a complete analysis of the problem in the linear--quadratic (LQ) setting and deduce that the optimal feedback control distribution for balancing exploitation and exploration is Gaussian. This in turn interprets and justifies the widely adopted Gaussian exploration in RL, beyond its simplicity for sampling. Moreover, the exploitation and exploration are captured, respectively and mutual-exclusively, by the mean and variance of the Gaussian distribution. We also find that a more random environment contains more learning opportunities in the sense that less exploration is needed. We characterize the cost of exploration, which, for the LQ case, is shown to be proportional to the entropy regularization weight and inversely proportional to the discount rate. Finally, as the weight of exploration decays to zero, we prove the convergence of the solution of the entropy-regularized LQ problem to the one of the classical LQ problem.