Alternating Optimisation and Quadrature for Robust Control

Supratik Paul, Konstantinos I. Chatzilygeroudis, Kamil Ciosek, Jean-Baptiste Mouret, Michael A. Osborne, Shimon Whiteson

Abstract: Bayesian optimisation has been successfully applied to a variety of reinforcement learning problems. However, the traditional approach for learning optimal policies in simulators does not utilise the opportunity to improve learning by adjusting certain environment variables - state features that are randomly determined by the environment in a physical setting but are controllable in a simulator. This paper considers the problem of finding an optimal policy while taking into account the impact of environment variables. We present alternating optimisation and quadrature (ALOQ), which uses Bayesian optimisation and Bayesian quadrature to address such settings. ALOQ is robust to the presence of significant rare events, which may not be observable under random sampling, but have a considerable impact on determining the optimal policy. We provide experimental results demonstrating our approach learning more efficiently than existing methods.