ECE-GY 9223 Reinforcement Learning Spring 2019

Course description: This course is a graduate level course focusing on the theory and practice of reinforcement learning. Reinforcement learning is a paradigm that focuses on the question: How to interact with an environment when the decision maker’s current action affects future consequences.  This course provides an accessible in-depth treatment of reinforcement learning and dynamic programming methods using function approximators. The course starts with a concise introduction to Markov Decision Processes and optimal control problems, in order to build the foundation. We present an extensive review of state-of-the-art approaches to dynamic programming and reinforcement learning with approximations. Theoretical guarantees are discussed on the solutions obtained, and numerical examples and applications are used to illustrate the properties of the individual methods. 

Pre-requisites:The course is offered as an advanced topic graduate course. The pre-requisites or co-requisites for this course are EL-GY 6233 System Optimization Methods, EL-GY 6253 Linear Systems, and EL-GY 6303 Probability and Stochastic Processes, or their equivalent.

Grading and Exams:

Homework: 40%

Midterm: 30%                    

Projects: 30%                

Main References:

[BT]     D.P. Bertsekas and J. Tsitsiklis, Neuro-Dynamic Programming, Athena Scientific, 1996.

[FV]     J. Filar, K. Vrieze, Competitive Markov Decision Processes, Springer 1997.

[CBL]   N. Cesa-Bianchi, G. Lugosi, Prediction, Learning, and Games, Cambridge University Press, 2006.

Additional References:

[BBSE] K. Busonu, R. Babuska, B. Schytter abnd D. Ernts, Reinforcement Learning and Dynamic Programming, CRC Press, 2010.

[CS]     C. Szepesvari, Algorithms for Reinforcement Learning, Morgan and Claypool Publishers, 2010.

[SB]      R.S. Sutton and A.G. Barto, Reinforcement Learning: An Introduction, MIT Press, 1998.

[SM]    S. Meyn, Control Techniques for Complex Systems, Cambridge University Press, 2007.

Projects:Students will be asked to do one reading project and one research project in the field of reinforcement learning. Students are asked to summarize the results, perform simulations, develop new results, and present their results in the course.

Lecture Notes:

Lecture 0 Introduction

Lecture 1  Markov Decision Processes

Lecture 2  Vector Space Methods: Banach Space

Lecture 3_Hilbert Space and Value Iterations

Lecture_4 Policy Iterations and Neural Networks

Lecture 5 Neural Networks and Optimization Algorithms

Lecture_6 Stochastic Approximation

Lecture_7 Q-Learning Algorithms

Lecture 8 TD-Learning and Bandit-Arm Problems 

Lecture 9 Bandit-Arm Problems

Lecture 10 Learning in Games