Stochastic Approximation of Gaussian Free Energy for Risk-Sensitive Reinforcement Learning

We introduce a stochastic approximation rule for estimating the free energy from1 i.i.d . samples generated by a Gaussian distribution with unknown mean and vari-2 ance . The rule is a simple modification of the Rescorla-Wagner rule , where the3 ( sigmoidal ) stimulus is taken to be either the event of over- or underestimating a4 target value . Since the Gaussian free energy is known to be a certainty-equivalent5 sensitive to the mean and the variance , the learning rule has applications in risk-6 sensitive decision-making . In particular , we show how to use the rule in combina-7 tion with the temporal-difference error in order to obtain risk-sensitive , model-free8 reinforcement learning algorithms.9 1 Introduction10 Main contribution . Let N ( x ; µ , ρ ) = √ ρ 2π exp { − ρ 2 ( x− µ ) 2 } be the Gaussian pdf with mean µ11 and precision ρ . Given a sequence x1 , x2 , . . . of i.i.d . samples drawn from N ( x ; µ , ρ ) with unknown12 µ and ρ , consider the problem of estimating the free energy Fβ for a given inverse temperature β ∈ R,13 that is14 Fβ = 1 β log ∫ R N ( x ; µ , ρ ) exp { βx } dx = µ+ β 2ρ . ( 1 ) This paper shows that ( 1 ) can be estimated using a surprisingly simple stochastic approximation rule.15 If v ∈ R is the current estimate and a new sample x arrives , update v according to16 v ← v + 2α · σβ ( x− v ) · ( x− v ) , ( 2 ) where α > 0 is a learning rate and σβ ( z ) is the scaled logistic sigmoid17 σβ ( z ) = 1 1 + exp { −βz } . ( 3 ) The unique and stable fixed point of the learning rule ( 2 ) is equal to the desired free energy value18 v∗ = µ+ β2ρ .19 Motivation . Risk-sensitivity , the susceptibility to the higher-order moments of the return , is neces-20 sary for the real-world deployment of AI agents . Wrong assumptions , lack of data , misspecification,21 limited computation , and adversarial attacks are just a handful of the countless sources of unforeseen22 perturbations that could be present at deployment time . Such perturbations can easily destabilize23 risk-neutral policies , because they only focus on maximizing expected return while entirely neglecting24 the variance . This poses serious safety concerns ( Russell et al. , 2015 ; Amodei et al. , 2016 ; Leike25 et al. , 2017 ) .26 Submitted to 35th Conference on Neural Information Processing Systems ( NeurIPS 2021 ) . Do not distribute . Risk-sensitive control has a long history in control theory ( Coraluppi , 1997 ) and is an active area27 of research within reinforcement learning ( RL ) . There are multiple different approaches to risk-28 sensitivity in RL : for instance in Minimax RL , inspired by classical robust control theory , one derives29 a conservative worst-case policy over MDP parameter intervals ( Nilim and El Ghaoui , 2005 ; Tamar30 et al. , 2014 ) ; and the more recent CVaR approach relies on using the conditional-value-at-risk as a31 robust performance measure ( Galichet et al. , 2013 ; Cassel et al. , 2018 ) . We refer the reader to García32 and Fernández ( 2015 ) for a comprehensive overview . Here we focus on one of the earliest and most33 popular approaches ( see references ) , consisting of the use of exponentially-transformed values , or34 equivalently , the free energy as the risk-sensitive certainty-equivalent ( Bellman , 1957 ; Howard and35 Matheson , 1972 ) .36 The certainty-equivalent of a stochastic value X ∈ R is defined as the representative deterministic37 value v ∈ R that a decision-maker uses as a summary of X for valuation purposes . To illustrate,38 consider a first-order Markov chain over discrete states S with transition kernel P ( s′|s ) , state-emitted39 rewards R ( s ) ∈ R , and discount factor γ ∈ [ 0 , 1 ) . Typically RL methods use the expectation as the40 certainty-equivalent of stochastic transitions ( Bertsekas and Tsitsiklis , 1995 ; Sutton and Barto , 2018 ) .41 Therefore they compute the value V ( s ) of the current state s ∈ S by ( recursively ) aggregating the42 future values through their expectation , e.g.43 V ( s ) = ∫ P ( s′|s ) { R ( s′ ) + γV ( s′ ) } ds′ . ( 4 ) Instead , Howard and Matheson ( 1972 ) proposed using the free energy as the certainty-equivalent,44 that is,45 V ( s ) = Fβ ( s ) = 1 β log ∫ P ( s′|s ) exp { β [ R ( s′ ) + γV ( s′ ) ] } ds′ , ( 5 ) where β ∈ R is the inverse temperature parameter which determines whether the aggregation is46 risk-averse ( β < 0 ) , risk-seeking ( β > 0 ) , or even risk-neutral as a special case ( β = 0 ) . Indeed , if47 the future values are bounded , then Fβ ( s ) is sigmoidal in shape as a function of β , with three special48 values given by49 lim β Fβ ( s ) = mins′ { R ( s′ ) + γV ( s′ ) } if β → −∞ ; E [ R ( S′ ) + γV ( S′ ) |S = s ] if β → 0 ; maxs′ { R ( s′ ) + γV ( s′ ) } if β → +∞ . ( 6 ) These limit values highlight the sensitivity to the higher-order moments of the return . Because of this50 property , the free energy has been used as the certainty-equivalent for assessing the value of both51 actions and observations under limited control and model uncertainty respectively , each effect having52 their own inverse temperature . The work by Grau-Moya et al . ( 2016 ) is a demonstration of how to53 incorporate multiple types of effects in MDPs.54 The present work addresses a longstanding problem pointed out by Mihatsch and Neuneier ( 2002 ) .55 An advantage of using expectations is that certainty-equivalents such as ( 4 ) are easily estimated56 using stochastic approximation schemes . For instance , consider the classical Robbins-Monro update57 ( Robbins and Monro , 1951 ) 58 v ← v + α · ( x− v ) ( 7 ) where x ∼ P ( x ) is a stochastic target value , α is a learning rate , and v is the estimate of E [ X ] .59 Substituting x = R ( s′ ) + γV ( s′ ) and v = V ( s ) leads to the popular TD ( 0 ) update ( Sutton and Barto,60 1990 ) :61 V ( s ) ← V ( s ) + α ( R ( s′ ) + γV ( s′ ) − V ( s ) ) . ( 8 ) However , there is no model-free counterpart for estimating free energies ( 5 ) under general unknown62 distributions . The difficulty lies in that model-free updates rely on single ( Monte-Carlo ) unbiased63 samples , but these are not available in the case of the free energy due to the log-term on the r.h.s.64 of ( 5 ) . This shortcoming led Mihatsch and Neuneier ( 2002 ) to propose the alternative risk-sensitive65 learning rule66 v ← v + α · u · ( x− v ) , where u = { ( 1− κ ) if ( x− v ) ≥ 0 ( 1 + κ ) if ( x− v ) < 0 ( 9 ) and where κ ∈ [ −1 ; 1 ] is a risk-sensitivity parameter . While the heuristic ( 9 ) does produce risk-67 sensitive policies , these have no formal correspondence to free energies.68 As anticipated , our work contributes a simple model-free rule for estimating the free energy in the69 special case of Gaussian distributions . Starting from the Rescorla-Wagner rule70 v ← v + α · u · ( x− v ) , ( 10 ) where u ∈ { 0 , 1 } is an indicator function marking the presence of a stimulus ( Rescorla , 1972 ) , we71 substitute u by twice the soft-indicator function σβ ( x− v ) of ( 3 ) , which activates whenever v either72 over- or underestimates the target value x , depending on the sign of the risk-sensitivity parameter β.73 Using the substitutions appropriate for RL , we obtain the risk-sensitive TD ( 0 ) -rule74 V ( s ) ← V ( s ) + 2α · σβ ( δ ) · δ , ( 11 ) where δ = R ( s′ ) + γV ( s′ ) − V ( s ) is the standard temporal-difference error . The learning rule is75 trivial to implement , works as stated for tabular RL , and is easily adapted to the objective functions76 of deep RL methods ( Mnih et al. , 2015 ) . Finally , the learning rule is also consistent with findings in77 computational neuroscience ( Niv et al. , 2012 ) , e.g . predicting asymmetric updates that are stronger78 for negative prediction errors in the risk-averse case ( Gershman , 2015 ) .79 2 Analysis of the Learning Rule80 Our central result is the following lemma , which implies that the unique and stable fixed point of the81 expected learning dynamics of ( 2 ) is given by the desired free energy.82 Lemma 1 . If x1 , x2 , . . . are i.i.d . samples from P ( X ) = N ( x ; µ , ρ ) , then the expected update J ( v ) 83 of the learning rule ( 2 ) is twice differentiable and such that84 J ( v ) = 2E [ σβ ( X − v ) · ( X − v ) ] < 0 , if v > Fβ ; = 0 , if v = Fβ ; > 0 , if v < Fβ . Proof . The expected update of v is85 J ( v ) : = 2 ∫ N ( x ; µ , ρ ) σ ( x− v ) ( x− v ) dx , ( 12 ) where we have dropped the subscript β from σβ for simplicity . Using the Leibnitz integral rule it86 is easily seen that this function is twice differentiable w.r.t . v , because the integrand is a product of87 twice differentiable functions.88 The resulting update direction will be positive if the integral over the positive contributions outweight89 the negative contributions and vice versa . The integrand of ( 12 ) has a symmetry property : splitting90 the domain of integration R into ( −∞ ; v ] and ( v ; +∞ ) , using the change of variable δ = x− v , and91 recombining the two integrals into one gives92 J ( v ) : = 2 ∫ ∞ 0 { N ( v + δ ; µ , ρ ) σ ( δ ) −N ( v − δ ; µ , ρ ) σ ( −δ ) } δ dδ . ( 13 ) We will show that the integrand of ( 13 ) is either negative , zero , or positive , depending on the value93 of v. Define the weighted update f ( x ) as94 f ( x ) = f ( v + δ ) : = N ( v + δ ; µ , ρ ) σ ( δ ) δ . This function is illustrated in Figure 1a . We are interested in the ratio95 f ( v + δ ) f ( v − δ ) = N ( v + δ ; µ , ρ ) N ( v − δ ; µ , ρ ) σ ( δ ) σ ( −δ ) , ( 14 ) which compares the positive against the negative contributions to the integrand in ( 13 ) . The first96 fraction of the r.h.s . of ( 14 ) is equal to97 N ( v + δ ; µ , δ ) N ( v − δ ; µ , ρ ) = exp { −ρ 2 ( v + δ − µ ) 2 + ρ 2 ( v − δ − µ ) 2 } = exp { −2ρδ ( v − µ ) } . Using the symmetry property σ ( δ ) = 1− σ ( −δ ) of the logistic sigmoid function , the second fraction98 can be shown to be equal to99 σ ( δ ) σ ( −δ ) = σ ( δ ) 1− σ ( δ ) = exp { βδ } . Substituting the above back into ( 14 ) results in100 f ( v + δ ) f ( v − δ ) = exp { −2ρδ ( v − µ ) + βδ } > 1 for v < µ+ β2ρ , = 1 for v = µ+ β2ρ , < 1 for v > µ+ β2ρ , also illustrated in Figure 1b . Therefore , the integrand in ( 13 ) is either positive ( v < µ + 22ρ ) , zero101 ( v = µ+ β2ρ ) , or negative ( v > µ+ β 2ρ ) , allowing to conclude the claim of the lemma.102 3 Additional Properties103 We discuss additional properties in order to strengthen the intuition and to clarify the significance of104 the learning rule ; some practical implementation advice is given at the end.105 Associated free energy functional . The Gaussian free energy Fβ in ( 1 ) is formally related to the106 valuation of risk-sensitive portfolios used in finance ( Markowitz , 1952 ) . It is well-known that the free107 energy is the extremum of the free energy functional , defined as the Kullback-Leibler-regularized108 expectation of X:109 Fβ [ p ( x ) ] : = Ep [ X ] − 1 β KL ( p ( x ) ∥∥N ( x ; µ , ρ ) ) . ( 15 ) This functional is convex in p for β < 0 and concave for β > 0 . Taking either the minimum ( for110 β < 0 ) or maximum ( for β > 0 ) w.r.t . p ( x ) yields111 Fβ = extr p ( x ) Fβ [ p ( x ) ] = [ µ+ β ρ ] − 1 β [ β2 2ρ ] = µ+ β 2ρ = E [ X ] + β 2 Var [ X ] , ( 16 ) that is , the Gaussian free energy is a linear function of β , where the intercept and the slope are equal112 to the expectation and half of the variance of X respectively . The extremizer p∗ ( x ) is the Gaussian113 p∗ ( x ) = arg extr p ( x ) Fβ [ p ( x ) ] = N ( x ; µ+ βρ , ρ ) . ( 17 ) The above gives a precise meaning to the free energy as a certainty-equivalent . The choice of a114 non-zero inverse temperature β reflects a distrust in the reference probability density N ( x ; µ , ρ ) as a115 reliable model for X . Specifically , the magnitude of β quantifies the degree of distrust and the sign of116 β indicates whether it is an under- or overestimation . This distrust results in using the extremizer ( 17 ) 117 as a robust substitute for the original reference model for X .118 Game-theoretic interpretation . In addition to the above , previous work ( Ortega and Lee , 2014 ; 119 Eysenbach and Levine , 2019 ; Husain et al. , 2021 ) has shown that the free energy functional has an120 interpretation as a two-player game which characterizes its robustness properties . Following Ortega121 and Lee ( 2014 ) , computing the Legendre-Fenchel dual of the KL regularizer yields an equivalent122 adversarial re-statement of the free energy functional ( 15 ) , which for β > 0 is given by123 max p ( x ) min c ( x ) { ∫ p ( x ) [ x− c ( x ) ] dx+ ∫ N ( x ; µ , ρ ) exp { βc ( x ) } dx , } , ( 18 ) where the perturbations c ( x ) ∈ R are chosen by an adversary ( Note : for the case β < 0 one obtains a124 Minimax problem over p ( x ) and c ( x ) rather than a Maximin ) . From this dual interpretation , one sees125 that the distribution p ( x ) is chosen as if it were maximizing the expected value of x′ = x − c ( x ) ,126 the adversarially perturbed version of x . In turn , the adversary attempts to minimize x′ , but at the127 cost of an exponential penalty for c ( x ) . More precisely , given the distribution p ( x ) , the adversarial128 best-response ( ignoring constants ) is129 c∗ ( x ) ( a ) = 1 β log p ( x ) N ( x ; µ , ρ ) ( b ) = 1 2β { ρ ( x− µ ) 2 − ρ̄ ( x− µ̄ ) 2 + log ρ̄ ρ } ( c ) = x− Fβ , ( 19 ) where the equality ( a ) is true for any choice of p ( x ) ; ( b ) holds if p ( x ) = N ( x ; µ̄ , ρ̄ ) for some mean µ̄130 and precision ρ̄ ; and where ( c ) holds if p ( x ) is the extremizer ( 17 ) . Here we see that the adversarial131 perturbations can be arbitrarily bad if p ( x ) is not chosen cautiously : for instance , for the ( Gaussian ) 132 Dirac delta133 p ( x ) = N ( x ; µ , ρ̄ ) ρ̄→∞−−−→ δ ( x = µ ) we get c∗ ( x ) = O ( log ρ̄ ρ ) ρ̄→∞−−−→ +∞ . ( 20 ) Error function . Let δ = x−v be the instantaneous difference between the sample and the estimate.134 If the update rule ( 2 ) corresponds to a stochastic gradient descent step , then what is the error function ? 135 That is , if136 v ← v − α · ∇δe ( δ , β ) = v + 2α · σβ ( δ ) · δ , then what is e ( δ , β ) ? Integrating the gradient ∇δe ( δ , β ) with respect to δ gives137 e ( δ , β ) = 2 ∫ σ ( δ ) δ dδ = 2δ β log ( 1 + exp { βδ } ) + 2 β2 li2 ( − exp { βδ } ) + π2 6β2 , ( 21 ) where log ( 1 + exp ( z ) ) is the softplus function ( Dugas et al. , 2001 ) and li2 ( z ) is Spence ’ s function138 ( or dilogarithm ) defined as139 li2 ( z ) = − ∫ z 0 log ( 1− z ) z dz , and where the constant of integration π 2 6β2 was chosen so that limδ→0 e ( δ , β ) = 0 for all β ∈ R. This140 error function is illustrated in Figure 1c for a handful of values of β . In the limit β → 0 , the error141 function becomes:142 lim β→0 e ( δ , β ) = 1 2 δ2 , thus establishing a connection between the quadratic error and the proposed learning rule.143 Practical considerations . The free energy learning rule ( 2 ) can be implemented as stated , for144 instance either using constant learning rate α > 0 or using an adaptive learning rate αt > 0 fulfilling145 the Robbins-Monro conditions ∑ t αt > 0 and ∑ t α 2 t < ∞.146 A problem arises when most of the data falls within the near-zero saturated region of the sigmoid,147 which can occur due to an unfortunate initialization of the estimate v. Since then σβ ( x− v ) ≈ 0 for148 most x , learning can be very slow . This problem can be mitigated using an affine transformation of149 the sigmoid that gaurantees a minimal rate η > 0 , such as150 σ̃β ( z ) = η + ( 1− 2η ) σβ ( z ) , ( 22 ) which re-scales the sigmoid within the interval [ η , 1− η ] . We have found this adjustment to work151 well for |β| ≈ 0 , especially when it is only used during the first few iterations.152 If one wishes to use the learning rule in combination with gradient-based optimization ( as is typical153 in a deep learning architecture ) , we do not recommend using the error function ( 21 ) directly . Rather,154 we suggest absorbing the factor 2σ̃β ( δ ) directly into the learning rate ( where as before , δ = x− v ) .155 A simple way to achieve this consists in scaling the estimation error E ( δ ) by said factor using a156 stop-gradient , that is,157 Ẽ ( δ ) : = StopGrad ( 2σ̃β ( δ ) ) · E ( δ ) , ( 23 ) since then the error gradient with respect to the model parameters θ will be158 ∇θẼ ( δ ) = −2σ̃β ( δ ) · ∂E ∂δ ∂v ∂θ . ( 24 ) Finally , a large |β| chooses a target free energy within a tail of the distribution , leading to slower159 convergence . If one wishes to approximate a free energy that sits at n standard deviations from the160 mean , then β should be chosen as161 β ( n ) = 2n √ ρ . ( 25 ) However , since β ( n ) is not scale invariant and the scale ρ is unknown , a good choice of β must be162 determined empirically.163 4 Experiments164 Estimation . Our first experiment is a simple sanity check . We estimated the free energy in an165 online manner using the learning rule ( 2 ) from data generated by two i.i.d . sources : a standard166 Gaussian , and uniform distribution over the interval [ −2 , 2 ] . Five different inverse temperatures167 were used ( β ∈ { −4 , −2 , 0 , 2 , 4 } ) . For each condition , we ran ten estimation processes from 4000168 random samples using the same starting point ( v = 1.5 ) . The learning rate was constant and equal to169 α = 0.02.170 The results are shown in figure 2 . In the Gaussian case , the estimation processes successfully stabilize171 around the true free energies , with processes having larger |β| converging slower , but fluctuating172 less . In the uniform case , the estimation processes do not settle around the correct free energy values173 for β 6= 0 ; however , the found solutions increase monotonically with β . These results validate the174 estimation method only for Gaussian data , as expected.175 Reinforcement learning . Next we applied the risk-sensitive learning rule to RL in a simple grid-176 world . The goal was to qualitatively investigate the types of policies that result from different177 risk-sensitivities . Shown in Figure 3a , the objective of the agent is to navigate to a terminal state178 containing a reward pill within no more than 25 time steps while avoiding the water . The reward pill179 delivers one reward point upon collection , whereas standing in the water penalizes the agent with180 minus one reward point per time step . In addition , there is a very strong wind : with 50 % chance in181 each step , the wind pushes the agent one block in a randomly chosen cardinal direction.182 We trained R2D2 ( Kapturowski et al. , 2018 ) agents with the risk-sensitive cost function ( 23 ) using183 five uniformly spaced inverse temperatures β ranging from −0.8 to 0.8 . The architecture of our184 agents consisted of a first convolutional layer with 3-by-3-kernels and 128 channels , a dense layer185 with 128 units , and a logit layer for the four possible actions ( i.e . walking directions ) . The discount186 factor was set to γ = 0.95 . Each agent was trained for 500K iterations with a batch size of 64 , using187 the Adam optimizer with learning rate 10−4 ( Kingma and Ba , 2014 ) . The target network was updated188 every 400 steps . The inputs to the network were observation tensors of binary features representing189 the 2D board . Note these agents didn ’ t use any recurrent cells and therefore no backpropagation190 through time was used . To train all the agents in this experiment we used 154 CPU core hours at 2.4191 GHz and 22.5 GPU hours.192 To analyze the resulting policies , we computed the episodic returns and the percentage of time the193 agents spent in the water ( i.e . the “ violations ” ) from 1000 roll-outs . The results , shown in Figure 3b,194 reveal that the risk-neutral policy ( β = 0 ) has the highest average return . However , the percentage of195 violations increases monotonically with β . Figure 3c shows the state-visitation probabilities estimated196 from the same roll-outs . There are essentially three types of policies : risk-averse , taking the longest197 path away from the water ; risk-neutral , taking middle path ; and risk-seeking , taking the shortest198 route right next to the water . These are even more crisply revealed when the wind is de-activated.199 Interestingly , the risk-averse policy ( β = −0.8 ) does not always reach the goal , which explains why200 its return is slightly lower in spite of committing fewer violations.201 Bandits . In the last experiment we wanted to observe the premiums that risk-sensitive agents are202 willing to pay when confronted with a choice between a certain and a risky option . To do so , we203 used a two-arm bandit setup , where one arm ( “ certain ” ) delivered a fixed reward and the other arm204 ( “ risky ” ) a stochastic one—more precisely , drawn from a Gaussian distribution with mean µ and205 precision ρ = 2 . Both the fixed payoff and the mean µ of the risky arm were drawn from a standard206 Gaussian distribution at the beginning of an episode , which lasted twenty rounds . To build agents207 that can trade off exploration versus exploitation , we used memory-based meta-learning ( Wang et al.,208 2016 ; Santoro et al. , 2016 ) , which is known to produce near-optimal bandit players ( Ortega et al.,209 2019 ; Mikulik et al. , 2020 ) .210 We meta-trained five R2D2 agents using risk-sensitives β ∈ { −1.0 , −0.5 , 0 , 0.5 , 1.0 } on the two-211 armed bandit task distribution ( also randomizing the certain/risky arm positions ) with discount factor212 γ = 0.95 . The network architecture and training parameters were as in the previous RL experiment,213 with the difference that the initial convolutional layer was replaced with a dense layer and an LSTM214 layer having 128 memory cells ( Hochreiter and Schmidhuber , 1997 ) . We used backpropagation215 through time for computing the episode gradients . The input to the network consisted of the action216 taken and reward obtained in the previous step . This setup allows agents to adapt their choices to past217 interactions throughout an episode . To train all the agents in this experiment we used 88 CPU core218 hours at 2.4 GHz and 10 GPU hours.219 Figure 4 shows the agents ’ choice profile in the last ( 20th ) time step . A true risk-neutral agent does220 not distinguish between a certain and risky option that have the same expected payoff ( black diagonal ) .221 The main finding is that the indifference region ( i.e . close to a 50 % choice in white color ) evolves222 significantly with increasing β , implying that the agents with different risk attitudes are indeed willing223 to pay different risk premia ( measured as the vertical distance of the indifference region from the224 diagonal ) . We observe two effects . The most salient effect is that the indifference region mostly225 moves from being beneath ( risk-averse ) to above ( risk-seeking ) the true risk-neutral indifference226 curve as β increases . The second effect is that risk-averse policies ( β = −1 and −0.5 ) contain a227 large region of a stochastic choice profile that appears to depend only on the risky arm ’ s parameter.228 We do not have a clear explanation for this effect . Our hypothesis is that risk-averse policies assume229 adversarial environments , which require playing mixed strategies with precise probabilities . Finally,230 the risk-neutral agent ( β = 0 ) appears to be slightly risk-averse . We believe that this effect arises due231 to the noisy exploration policy employed during training.232 5 Discussion233 Summary of contributions . In this work we have introduced a learning rule for the online estima-234 tion of the Gaussian free energy with unknown mean and precision/variance . The learning rule ( 2 ) is235 obtained by reinterpreting the stimulus-presence indicator component of the Rescorla-Wagner rule236 ( Rescorla , 1972 ) as a ( soft ) indicator function for the event of either over- or underestimating the237 target value . In Lemma 1 we have shown that the free energy is the unique and stable fixed point of238 the expected learning dynamics . This is the main contribution.239 Furthermore , we have shown how to use the learning rule for risk-sensitive RL . Since the free240 energy implements certainty-equivalents that range from risk-averse to risk-seeking , we were able241 to formulate a risk-sensitive , model-free update in the spirit of TD ( 0 ) ( Sutton and Barto , 1990 ) ,242 thereby addressing a longstanding problem ( Mihatsch and Neuneier , 2002 ) for the special case of243 the Gaussian distribution . Due to its simplicity , the rule is easy to incorporate into existing deep RL244 algorithms , for instance by modifying the error using a stop-gradient as shown in ( 23 ) . In Section 3245 we also elaborated on the role of the free energy within decision-making , pointing out its robustness246 properties and adversarial interpretation.247 We also demonstrated the learning rule in experiments . Firstly , we empirically confirmed that248 the online estimates stabilize around the correct Gaussian free energies ( Section 4–Estimation ) .249 Secondly , we showed how incorporating risk-attitudes into deep RL can lead to agents implementing250 qualitatively different policies which intuitively make sense ( Section 4–RL ) . Lastly , we inspected the251 premia risk-sensitive agents are willing to pay for choosing a risky over a certain option , finding that252 agents have choice patterns that are more complex than we had anticipated ( Section 4–Bandits ) .253 Limitations . As shown empirically in Section 4–Estimation , an important limitation of the learning254 rule is that its fixed point is only equal to the free energy when the samples are Gaussian ( or255 approximately Gaussian , as justified by the CLT ) . Nevertheless , agents using the risk-sensitive TD ( 0 ) 256 update ( 11 ) still display risk attitudes monotonic in β , with β = 0 reducing to the familiar risk-neutral257 case.258 While Lemma 1 establishes the stable equilibrium of the expected update , it only guarantees conver-259 gence in continuous-time updates . To show convergence using discrete-time point samples , a stronger260 result is required . In particular , we conjecture that261 ∣∣J ( v ) ∣∣ = 2∣∣∣∣∫ N ( x ; µ , ρ ) σβ ( x− v ) ( x− v ) dx∣∣∣∣ ≤ 2∣∣Fβ − v∣∣ ( 26 ) If ( 26 ) is true , meaning that J ( v ) is 2-Lipschitz , then this could be combined with a result in stochastic262 approximation theory akin to Theorem 1 in Jaakkola et al . ( 1994 ) to prove convergence.263 A shortcoming of our experiments using R2D2 agents is that they deterministically pick actions that264 maximize the Q-value . However , risk-averse agents see their environments as being adversarial , and265 these in turn require stochastic policies in order to achieve optimal performance.266 Conclusions . Because it is impossible to anticipate the many ways in which a dynamically-changing267 environment will violate prior assumptions , requiring the robustness of ML algorithms is of vital268 importance for their deployment in real-world applications . Unforeseen events can render their269 decisions unreliable—and in some cases even unsafe.270 Our work makes a small but nonetheless significant contribution to risk-sensitivity in ML . In essence,271 it suggests a minor modification to existing algorithms , biasing valuation estimates in a risk-sensitive272 manner . In particular , we expect the risk-sensitive TD ( 0 ) -learning rule to become an integral part of273 future deep RL algorithms.274 References275 Amodei , D. , Olah , C. , Steinhardt , J. , Christiano , P. , Schulman , J. , and Mané , D. ( 2016 ) . Concrete276 problems in AI safety . arXiv preprint arXiv:1606.06565.277 Bellman , R. ( 1957 ) . Dynamic Programming . Princeton University Press.278 Bertsekas , D. P. and Tsitsiklis , J. N. ( 1995 ) . Neuro-dynamic programming : an overview . In279 Proceedings of 1995 34th IEEE conference on decision and control , volume 1 , pages 560–564.280 IEEE.281 Cassel , A. , Mannor , S. , and Zeevi , A . ( 2018 ) . A general approach to multi-armed bandits under risk282 criteria . In Conference On Learning Theory , pages 1295–1306 . PMLR.283 Coraluppi , S. P. ( 1997 ) . Optimal control of Markov decision processes for performance and robustness.284 University of Maryland , College Park.285 Dugas , C. , Bengio , Y. , Bélisle , F. , Nadeau , C. , and Garcia , R. ( 2001 ) . Incorporating second-order286 functional knowledge for better option pricing . In Advances in Neural Information Processing287 Systems , volume 13 . MIT Press.288 Eysenbach , B. and Levine , S. ( 2019 ) . If MaxEnt RL is the answer , what is the question ? 289 Galichet , N. , Sebag , M. , and Teytaud , O . ( 2013 ) . Exploration vs exploitation vs safety : Risk-aware290 multi-armed bandits . In Asian Conference on Machine Learning , pages 245–260 . PMLR.291 García , J. and Fernández , F. ( 2015 ) . A comprehensive survey on safe reinforcement learning . Journal292 of Machine Learning Research , 16 ( 1 ) :1437–1480.293 Gershman , S. J . ( 2015 ) . Do learning rates adapt to the distribution of rewards ? Psychonomic Bulletin294 & Review , 22 ( 5 ) :1320–1327.295 Grau-Moya , J. , Leibfried , F. , Genewein , T. , and Braun , D. A . ( 2016 ) . Planning with information-296 processing constraints and model uncertainty in Markov decision processes . In Joint European Con-297 ference on Machine Learning and Knowledge Discovery in Databases , pages 475–491 . Springer.298 Hochreiter , S. and Schmidhuber , J . ( 1997 ) . Long short-term memory . Neural computation , 9 ( 8 ) :1735–299 1780.300 Howard , R. A. and Matheson , J. E. ( 1972 ) . Risk-sensitive Markov decision processes . Management301 science , 18 ( 7 ) :356–369.302 Husain , H. , Ciosek , K. , and Tomioka , R. ( 2021 ) . Regularized policies are reward robust . In303 International Conference on Artificial Intelligence and Statistics , pages 64–72 . PMLR.304 Jaakkola , T. , Jordan , M. I. , and Singh , S. P. ( 1994 ) . On the convergence of stochastic iterative305 dynamic programming algorithms . Neural computation , 6 ( 6 ) :1185–1201.306 Kappen , H. J . ( 2005 ) . Path integrals and symmetry breaking for optimal control theory . Journal of307 statistical mechanics : theory and experiment , 2005 ( 11 ) : P11011.308 Kappen , H. J. , Gómez , V. , and Opper , M. ( 2012 ) . Optimal control as a graphical model inference309 problem . Machine learning , 87 ( 2 ) :159–182.310 Kapturowski , S. , Ostrovski , G. , Quan , J. , Munos , R. , and Dabney , W. ( 2018 ) . Recurrent experience311 replay in distributed reinforcement learning . In International conference on learning representa-312 tions.313 Kingma , D. P. and Ba , J . ( 2014 ) . Adam : A method for stochastic optimization . arXiv e-prints , pages314 arXiv–1412.315 Leike , J. , Martic , M. , Krakovna , V. , Ortega , P. A. , Everitt , T. , Lefrancq , A. , Orseau , L. , and Legg , S.316 ( 2017 ) . AI safety gridworlds . arXiv preprint arXiv:1711.09883.317 Markowitz , H. ( 1952 ) . Portfolio selection . Journal of Finance , 1 ( 7 ) .318 Mihatsch , O. and Neuneier , R. ( 2002 ) . Risk-sensitive reinforcement learning . Machine learning,319 49 ( 2 ) :267–290.320 Mikulik , V. , Delétang , G. , McGrath , T. , Genewein , T. , Martic , M. , Legg , S. , and Ortega , P. A . ( 2020 ) .321 Meta-trained agents implement bayes-optimal agents . arXiv preprint arXiv:2010.11223.322 Mnih , V. , Kavukcuoglu , K. , Silver , D. , Rusu , A . A. , Veness , J. , Bellemare , M. G. , Graves , A.,323 Riedmiller , M. , Fidjeland , A. K. , Ostrovski , G. , et al . ( 2015 ) . Human-level control through deep324 reinforcement learning . nature , 518 ( 7540 ) :529–533.325 Nilim , A. and El Ghaoui , L. ( 2005 ) . Robust control of Markov decision processes with uncertain326 transition matrices . Operations Research , 53 ( 5 ) :780–798.327 Niv , Y. , Edlund , J . A. , Dayan , P. , and O ’ Doherty , J. P. ( 2012 ) . Neural prediction errors reveal328 a risk-sensitive reinforcement-learning process in the human brain . Journal of Neuroscience,329 32 ( 2 ) :551–562.330 Ortega , D. A. and Braun , P. A . ( 2011 ) . Information , utility and bounded rationality . In International331 Conference on Artificial General Intelligence , pages 269–274 . Springer.332 Ortega , P. A. and Braun , D. A . ( 2013 ) . Thermodynamics as a theory of decision-making with333 information-processing costs . Proceedings of the Royal Society A : Mathematical , Physical and334 Engineering Sciences , 469 ( 2153 ) :20120683.335 Ortega , P. A. and Lee , D. ( 2014 ) . An adversarial interpretation of information-theoretic bounded336 rationality . In Proceedings of the AAAI Conference on Artificial Intelligence , volume 28.337 Ortega , P. A. , Wang , J. X. , Rowland , M. , Genewein , T. , Kurth-Nelson , Z. , Pascanu , R. , Heess , N.,338 Veness , J. , Pritzel , A. , Sprechmann , P. , et al . ( 2019 ) . Meta-learning of sequential strategies . arXiv339 preprint arXiv:1905.03030.340 Rescorla , R. A . ( 1972 ) . A theory of Pavlovian conditioning : Variations in the effectiveness of341 reinforcement and nonreinforcement . Current research and theory , pages 64–99.342 Robbins , H. and Monro , S. ( 1951 ) . A stochastic approximation method . The annals of mathematical343 statistics , pages 400–407.344 Russell , S. , Dewey , D. , and Tegmark , M. ( 2015 ) . Research priorities for robust and beneficial artificial345 intelligence . Ai Magazine , 36 ( 4 ) :105–114.346 Santoro , A. , Bartunov , S. , Botvinick , M. , Wierstra , D. , and Lillicrap , T. ( 2016 ) . Meta-learning with347 memory-augmented neural networks . In International conference on machine learning , pages348 1842–1850 . PMLR.349 Sutton , R. S. and Barto , A. G. ( 1990 ) . Time-derivative models of Pavlovian reinforcement . In350 Learning and Computational Neuroscience : Foundations of Adaptive Networks , pages 497–537.351 MIT Press.352 Sutton , R. S. and Barto , A. G. ( 2018 ) . Reinforcement learning : An introduction . MIT Press.353 Tamar , A. , Mannor , S. , and Xu , H. ( 2014 ) . Scaling up robust MDPs using function approximation . In354 International Conference on Machine Learning , pages 181–189 . PMLR.355 Theodorou , E. , Buchli , J. , and Schaal , S. ( 2010 ) . A generalized path integral control approach to356 reinforcement learning . The Journal of Machine Learning Research , 11:3137–3181.357 Tishby , N. and Polani , D. ( 2011 ) . Information theory of decisions and actions . In Perception-action358 cycle , pages 601–636 . Springer.359 Todorov , E. ( 2007 ) . Linearly-solvable Markov decision problems . In Advances in neural information360 processing systems , pages 1369–1376.361 Toussaint , M. ( 2009 ) . Robot trajectory optimization using approximate inference . In Proceedings of362 the 26th annual international conference on machine learning , pages 1049–1056.363 Wang , J. X. , Kurth-Nelson , Z. , Tirumala , D. , Soyer , H. , Leibo , J . Z. , Munos , R. , Blundell , C.,364 Kumaran , D. , and Botvinick , M. ( 2016 ) . Learning to reinforcement learn . arXiv preprint365 arXiv:1611.05763.366 Ziebart , B. D. , Maas , A. L. , Bagnell , J . A. , and Dey , A. K. ( 2008 ) . Maximum entropy inverse367 reinforcement learning . In AAAI.368 Checklist369 1 . For all authors ... 370 ( a ) Do the main claims made in the abstract and introduction accurately reflect the paper ’ s371 contributions and scope ? [ Yes ] 372 ( b ) Did you describe the limitations of your work ? [ Yes ] see Section 5373 ( c ) Did you discuss any potential negative societal impacts of your work ? [ Yes ] see374 Section 5375 ( d ) Have you read the ethics review guidelines and ensured that your paper conforms to376 them ? [ Yes ] 377 2 . If you are including theoretical results ... 378 ( a ) Did you state the full set of assumptions of all theoretical results ? [ Yes ] in Section 2.379 ( b ) Did you include complete proofs of all theoretical results ? [ Yes ] in Section 2.380 3 . If you ran experiments ... 381 ( a ) Did you include the code , data , and instructions needed to reproduce the main exper-382 imental results ( either in the supplemental material or as a URL ) ? [ No ] The code is383 proprietary.384 ( b ) Did you specify all the training details ( e.g. , data splits , hyperparameters , how they385 were chosen ) ? [ Yes ] see Section 4.386 ( c ) Did you report error bars ( e.g. , with respect to the random seed after running experi-387 ments multiple times ) ? [ Yes ] see Section 4.388 ( d ) Did you include the total amount of compute and the type of resources used ( e.g. , type389 of GPUs , internal cluster , or cloud provider ) ? [ Yes ] see Section 4.390 4 . If you are using existing assets ( e.g. , code , data , models ) or curating/releasing new assets ... 391 ( a ) If your work uses existing assets , did you cite the creators ? [ N/A ] 392 ( b ) Did you mention the license of the assets ? [ N/A ] 393 ( c ) Did you include any new assets either in the supplemental material or as a URL ? [ N/A ] 394 395 ( d ) Did you discuss whether and how consent was obtained from people whose data you ’ re396 using/curating ? [ N/A ] 397 ( e ) Did you discuss whether the data you are using/curating contains personally identifiable398 information or offensive content ? [ N/A ] 399 5 . If you used crowdsourcing or conducted research with human subjects ... 400 ( a ) Did you include the full text of instructions given to participants and screenshots , if401 applicable ? [ N/A ] 402 ( b ) Did you describe any potential participant risks , with links to Institutional Review403 Board ( IRB ) approvals , if applicable ? [ N/A ] 404 ( c ) Did you include the estimated hourly wage paid to participants and the total amount405 spent on participant compensation ? [ N/A ] 406

Summary: The authors introduced a stochastic approximation rule for estimating the free energy from i.i.d. samples generated by a Gaussian distribution of unknown mean and variance. They apply their result then to optimize the entropic risk measure in an RL task.