Multifidelity Reinforcement Learning with Control Variates

Sami Khairy, Prasanna Balaprakash

Keywords: Reinforcement learning, multifidelity environments, multifidelity estimation

TL;DR: We propose a theoretically motivated algorithm to improve the performance of RL in the presence of multiple environments with different levels of fidelity for a control task.

Abstract: In many computational science and engineering applications, the output of a system of interest corresponding to a given input can be queried at different levels of fidelity with different costs. Typically, low-fidelity data is cheap and abundant, while high-fidelity data is expensive and scarce. In this work we study the reinforcement learning (RL) problem in the presence of multiple environments with different levels of fidelity for a given control task. We focus on improving the RL agent's performance with multifidelity data. Specifically, a multifidelity estimator that exploits the cross-correlations between the low- and high-fidelity returns is proposed to reduce the variance in the estimation of the state-action value function. The proposed estimator, which is based on the method of control variates, is used to design a multifidelity Monte Carlo RL (MFMCRL) algorithm that improves the learning of the agent in the high-fidelity environment. The impacts of variance reduction on policy evaluation and policy improvement are theoretically analyzed by using probability bounds. Our theoretical analysis and numerical experiments demonstrate that for a finite budget of high-fidelity data samples, our proposed MFMCRL agent attains superior performance compared with that of a standard RL agent that uses only the high-fidelity environment data for learning the optimal policy.

Community Implementations: [ 1 code implementation](https://www.catalyzex.com/paper/multifidelity-reinforcement-learning-with/code)