Epsilon greedy policy

See also: Machine learning terms

Introduction

The Epsilon-Greedy Policy is a widely used exploration-exploitation strategy in Reinforcement Learning (RL) algorithms. It helps balance the decision-making process between exploring new actions and exploiting the knowledge acquired thus far in order to maximize the expected cumulative rewards.

Exploration and Exploitation Dilemma

In the context of RL, an agent interacts with an environment and learns an optimal policy by taking actions that lead to the maximum cumulative reward. During this learning process, the agent faces a crucial dilemma:

• Exploration: The agent tries out new actions to acquire more information about the environment, which may lead to discovering better actions that yield higher rewards.
• Exploitation: The agent leverages its current knowledge to select actions that it believes will yield the highest rewards.

Balancing exploration and exploitation is vital in RL, as overly favoring one may lead to suboptimal performance. An epsilon-greedy policy aims to address this dilemma by striking a balance between exploration and exploitation.

Epsilon-Greedy Policy Algorithm

The epsilon-greedy policy algorithm is a straightforward yet effective approach that requires a single hyperparameter, epsilon (ε), which determines the trade-off between exploration and exploitation. The algorithm can be summarized as follows:

1. With a probability of ε, the agent selects an action uniformly at random (exploration). 2. With a probability of 1-ε, the agent selects the action that currently has the highest estimated value (exploitation).

The value of ε is typically between 0 and 1. A higher ε value encourages more exploration, while a lower ε value promotes more exploitation.

Epsilon Decay

One common approach to improve the epsilon-greedy policy over time is to incorporate epsilon decay. This involves gradually reducing the value of ε as the agent gains more experience with the environment. As a result, the agent initially explores more actions but gradually shifts towards exploiting its knowledge.

Epsilon decay can be implemented using a variety of strategies, such as linear decay or exponential decay. The choice of decay strategy and rate depends on the specific problem and the desired balance between exploration and exploitation.

Advantages and Disadvantages

Advantages

• Simple to implement and understand.
• Requires only one hyperparameter (ε) for tuning.
• Balances exploration and exploitation effectively in many problem settings.

Disadvantages

• Can be sensitive to the choice of ε and decay strategy.
• May not be the most efficient exploration strategy for all problems.
• In some cases, more sophisticated exploration techniques like Upper Confidence Bound (UCB) or Thompson Sampling may provide better performance.

Explain Like I'm 5 (ELI5)

Imagine you're in a new city, and you want to find the best ice cream shop. You could either try every shop (exploration) or go to the one you think has the best ice cream (exploitation). The epsilon-greedy policy helps you make this decision. With a small chance (ε), you'll try a random ice cream shop. Most of the time (1-ε), you'll go to the shop you believe has the best ice cream. This way, you can discover new shops while still enjoying your favorite ice cream.