Reinforcement learning for decision-making under deep uncertainty

Abstract

Planning under complex uncertainty often asks for plans that can adapt to changing future conditions. To inform plan development during this process, exploration methods have been used to explore the performance of candidate policies given uncertainties. Nevertheless, these methods hardly enable adaptation by themselves, so extra efforts are required to develop the final adaptive plans, hence compromising the overall decision-making efficiency. This paper introduces Reinforcement Learning (RL) that employs closed-loop control as a new exploration method that enables automated adaptive policy-making for planning under uncertainty. To investigate its performance, we compare RL with a widely-used exploration method, Multi-Objective Evolutionary Algorithm (MOEA), in two hypothetical problems via computational experiments. Our results indicate the complementarity of the two methods. RL makes better use of its exploration history, hence always providing higher efficiency and providing better policy robustness in the presence of parameter uncertainty. MOEA quantifies objective uncertainty in a more intuitive way, hence providing better robustness to objective uncertainty. These findings will help researchers choose appropriate methods in different applications.