# Deep Adaptive Design and Bayesian reinforcement learning

This post discusses the connection between one of my own papers, Deep Adaptive Design (DAD), and the field of Bayesian reinforcement learning.
That such a connection exists is hinted at by a high-level appraisal of the DAD method: it solves a sequential decision making problem to optimise a
certain objective function, decision optimality is dependent on a *state* which is the experimental data already gathered, and the automated decision maker
is a design *policy* network.
We begin by showing how the sequential Bayesian experimental design problem solved by DAD can be viewed as a
Bayes Adaptive Markov Decision Process (BAMDP), making this connection formally precise.
There are also key differences between the problem DAD is solving and a *conventional* Bayesian RL problem, in particular, the reward in DAD is intractable.

Given this connection, the question arises “what use can we make of it?” First, there are rather natural extensions of DAD to more general objective functions. Second, it should be possible to apply standard RL techniques, such as Q-learning and policy optimization to the sequential Bayesian experimental design problem, which may be particularly useful for long- or infinite-horizon problems.

## Update

This post was originally written as part of my PhD thesis back in September 2021. Since then, to my giddy delight, the community appears to have latched onto the DAD-RL connection in not one but three papers that I am aware of: Lim et al., Blau et al. and Asano, plus the highly related Shen et al.. I hope to dig into these papers in more detail in future posts.

## Background on Bayesian Reinforcement Learning

### Markov Decision Processes

The Markov Decision Process (MDP) is a highly successful mathematical framework for sequential decision problems
in a known environment.
Formally, a MDP consists of a state space \(S\), an action space \(A\), a transition model \(\mathcal{P}\), a reward distribution \(R\), a discount factor
\(0 \le \gamma \le 1\) and a time horizon \(T\) which may be infinite.
An agent operates in the MDP by moving between different states in discrete time.
For example, if the agent is in state \(s_t\) at time \(t\) and chooses to play action \(a_t\), then the next state \(s_{t+1}\) will be sampled randomly
according to the transition model \(s_{t+1} \sim \mathcal{P}(s|s_t,a_t)\). Since the distribution over the next state depends only on
\(s_t\) and \(a_t\), the transitions are Markovian.
Finally, by making the transition \(s_t \overset{a_{t}}{\longrightarrow} s_{t+1}\), the agent receives a random reward \(r_t \sim R(r|s_t,a_t,s_{t+1}) \in \R\).
The agent’s objective is to maximise the discounted sum of rewards \(\sum_{t=0}^T \gamma^t r_t\).
Given the Markovian nature of the problem, it is sufficient to choose actions according to some *policy* \(\pi\), where \(a_t = \pi(s_t)\).
The optimality condition for a policy is \(\pi^* = \argmax_{\pi} \mathcal{J}(\pi)\), where

In a classical MDP, we assume that \(\mathcal{P}\) and \(R\) are known during the planning phase, when the agent devises their policy \(\pi\). Of particular utility in planning a policy is the value function, defined as

\[\begin{aligned} V^\pi(s) = \mathbb{E}_{s'\sim \mathcal{P}(\cdot|s,\pi(s)), r \sim R(r|s,\pi(s),s')}\left[ r + \gamma V^\pi(s') \right] \end{aligned}\]and the \(Q\)-function

\[\begin{aligned} Q^\pi(s, a) = \mathbb{E}_{s'\sim \mathcal{P}(\cdot|s,a), r \sim R(r|s,a,s')}\left[ r + \gamma V^\pi(s') \right]. \end{aligned}\]These equations are valid when \(T=\infty\), for finite time horizon we also have to take account of time \(t\) in state evaluations.

### Bayes Adaptive Markov Decision Processes

The BAMDP is one approach to generalising the MDP to deal with unknown transition models. In the BAMDP, the agent retains an explicit posterior distribution over the transition model called a belief state. This allows a formally elegant approach to behaviour under uncertainty which can trade off exploration (learning the transition model) and exploitation (executing actions that receive a high reward).

To set this up formally using the notation of Guez et al., we begin by considering an outer probabilistic model over the transition probabilities with prior \(P(\mathcal{P})\). Given a history of states, actions and rewards \(h_t = s_0a_0\dots r_{t-1}a_{t-1}s_t\), we can compute a posterior distribution on \(\mathcal{P}\) by

\[\begin{aligned} P(\mathcal{P}|h_t) \propto P(\mathcal{P})P(h_t|\mathcal{P}) = P(\mathcal{P}) \prod_{\tau=0}^t \mathcal{P}(s_{\tau+1}|s_\tau,a_\tau). \end{aligned}\]To bring this back into the MDP formulation, we consider an augmented state space \(S^+\) which consists of entire histories, and which encapsulates both the current state and our beliefs about the transition model. Transitions in the augmented state space \(S^+\) are given by integrating over the current beliefs on \(\mathcal{P}\)

\[\begin{aligned} \mathcal{P}^+(h_{t+1}|h_t,a_t) = \int P(\mathcal{P}|h_t)\mathcal{P}(s_{t+1}|s_t,a_t) \, d\mathcal{P}. \end{aligned}\]It is also possible for BAMDPs to incorporate unknown reward distributions (see e.g. this paper), where an outer model over reward distributions is updated on the basis of \(h_t\) in the same manner as for the transition probabilities. Specifically, if we have a prior \(P(R)\) over reward distributions, then the reward function for playing action \(a_t\) in augmented state \(h_t\) is

\[\begin{aligned} R^+(r|h_t,a_t,h_{t+1}) = \int P(R|h_{t+1})R(r|s_t,a_t,s_{t+1}) \, dR. \end{aligned}\]Combining these gives a new MDP with state space \(S^+\) of histories, unchanged action space \(A\), augmented transition model \(\mathcal{P}^+\), augmented reward distribution \(R^+\), discount factor \(\gamma\) and time horizon \(T\). Optimal action in this new MDP gives the optimal trade-off between exploration and exploitation.

## The Bayesian RL formulation of DAD

In DAD, we choose a sequence of designs \(\xi_1,\dots,\xi_T\) with a view to maximising the expected information gained about a latent parameter of interest \(\theta\). To place DAD in a Bayesian RL setting, we begin by associating the design \(\xi_t\) chosen before observing an outcome with the action \(a_{t-1}\). The difference in time labels is necessary because \(\xi_t\) is chosen before \(y_t\) is observed. Since the observation distribution \(p(y|\xi,\theta)\) depends on the unknown \(\theta\), we are not in a MDP, but rather a BAMDP. As in the previous section, it seems sensible to consider the state space for DAD as the space of histories \(h_t = \xi_1y_1\dots\xi_ty_t\). Uncertainty over the transition model in DAD is captured by uncertainty in \(\theta\). Specifically, we have the following transition distribution for history states

\[\begin{aligned} p(h_{t+1}|h_t,\xi_{t+1}) = \int p(\theta|h_t)p(y_{t+1}|\xi_{t+1},\theta) \, d\theta \end{aligned}\]which is the analogue of the BAMDP transition probabilities, but now expressed in the notation of experimental design. Unlike the standard reinforcement learning setting, there are no external rewards in DAD. Instead, rewards are defined in terms of information gathered about \(\theta\). Specifically, we can take the reward distribution on augmented states \(R^+(r|h_t,a_t,h_{t+1})\) to be a deterministic function of \(h_{t+1}\) that represents the information gained about \(\theta\) by moving from \(h_t\) to \(h_{t+1}\). This is given by the reduction in entropy

\[\begin{aligned} R^+(h_t,a_t,h_{t+1}) = H[p(\theta|h_{t})] - H[p(\theta|h_{t+1})]. \end{aligned}\]To complete the BAMDP specification, we take \(\gamma=1\) and we use a time horizon of \(T\). This gives the objective function for policies

\[\begin{aligned} \mathcal{J}(\pi) = \mathbb{E}\left[\sum_{t=1}^T r_t \right] = \mathbb{E}_{p(\theta)p(h_T|\theta,\pi)}\left[\sum_{t=1}^T H[p(\theta|h_{t-1})] - H[p(\theta|h_t)] \right]. \end{aligned}\]To connect this with the objective that is used in DAD, we apply Theorem 1 of the DAD paper, which tells us that

\[\begin{aligned} \mathcal{J}(\pi) =\mathbb{E}_{p(\theta)p(h_T|\theta,\pi)}\left[\sum_{t=1}^T H[p(\theta|h_{t-1})] - H[p(\theta|h_t)] \right] \overset{\text{Theorem 1}}{=} \mathcal{I}_T(\pi) \end{aligned}\]where

\[\begin{aligned} \mathcal{I}_T(\pi) = \mathbb{E}_{p(\theta)p(h_T|\theta,\pi)}\left[ \log\frac{p(h_T|\theta,\pi)}{\mathbb{E}_{p(\theta')}[p(h_T|\theta',\pi)]} \right]. \end{aligned}\]In summary, we can cast the problem that DAD solves as a BAMDP. We identify designs with actions, experimental histories with augmented states, we use the probabilistic model to give a natural transition distribution on these states, we introduce non-random rewards that are one-step information gains, we set \(\gamma=1\) and generally assume a finite number of experiment iterations \(T\).

## What makes the experimental design problem distinctive?

Having established a theoretical connection between sequential Bayesian experimental design and Bayesian RL, one might naturally ask whether there is any reason to develop specialist algorithms for experimental design when general purpose Bayesian RL algorithms are applicable. First, we focus on the reward structure of the Bayesian experimental design problem. The rewards \(r_t = H[p(\theta|h_{t-1})] - H[p(\theta|h_t)]\) are generally intractable, requiring Bayesian inference on \(\theta\). Rather than attempting to estimate this reward, DAD proposes the sPCE lower bound on the total expected informationn gain under policy \(\pi\), namely

\[\begin{aligned} \mathcal{I}_T(\pi) \ge \mathcal{L}_T(\pi,L) = \mathbb{E}_{p(\theta_0)p(h_T|\theta_0,\pi)p(\theta_{1:L})}\left[ \log \frac{p(h_T|\theta_0,\pi)}{\frac{1}{L+1}\sum_{\ell=0}^L p(h_T|\theta_\ell,\pi) } \right]. \end{aligned}\]Interestingly, there is a way to interpret the sPCE objective within the RL framework.
First, we use *root sampling* to sample \(\theta_0\) and \(h_T\) together.
We also fix the contrasts \(\theta_{1:L}\).
Finally, we use the surrogate rewards

Since these rewards depend on \(\theta_0\), we can treat them as randomised rewards if we are only conditioning on \(h_t\).

One important feature of these rewards is that, whilst intractable, the surrogate \(\mathcal{L}_T(\pi,L)\) is differentiable with respect to the designs \((\xi_t)_{t=1}^T\) and observations \((y_t)_{t=1}^T\). In the simplest form of DAD, we further assume a differentiable relationship between \(y_t\) and \(\xi_t\) that is encapsulated by a reparametrisable way to sample \(p(y|\theta,\xi)\). Concretetly, for example, we might have \(y|\theta,\xi = \mu(\theta,\xi) + \sigma(\theta,\xi)\varepsilon\) where \(\varepsilon \sim N(0,1)\) and \(\mu\) and \(\sigma\) are differentiable functions. The result of these assumptions is that we can directly differentiate the surrogate objective \(\mathcal{L}_T(\pi,L)\) with respect to the parameters \(\phi\) of the policy network \(\pi_\phi\) that generates the designs \((\xi_t)_{t=1}^T\) according to the formula \(\xi_t = \pi_\phi(h_{t-1})\). DAD optimises the policy \(\pi_\phi\) directly by gradient descent on \(\mathcal{L}_T(\pi,L)\).

Thus, DAD can be characterised in RL language as a direct policy optimisation method. Whilst direct policy optimisation methods are used in RL, they are far from the norm, with methodologies such as Q-learning and actor-critic being more dominant. This may be because RL does not typically assume that the reward function is differentiable: for example, rewards from a real environment rarely come with gradient information. It may also be because discrete action problems are more the focus.

DAD also contrasts with many approaches to *Bayesian* RL in that it avoids the estimation of the posteriors \(p(\theta|h_t,\pi)\).
In Bayesian RL, these posterior distributions are referred to as *belief states*.
Many methods for tackling Bayesian RL problems utilise the estimation of belief states.
DAD instead relies on an approach that is closer to the method of root sampling.
This is also one difference between DAD and a previous approach to non-greedy sequential Bayesian experimental design.

## New objective functions for DAD

Seeing DAD in the framework of Bayesian RL naturally invites the question of whether the general DAD methodology can be applied to objective functions (rewards) that are not information gains. The preceding discussion suggests that, using root sampling so a dependence on \(\theta\) is possible, we could consider rewards of the form

\[\begin{aligned} r^\text{general}_t = R(\theta,h_t,\epsilon_t) \end{aligned}\]where \(R\) is a known differentiable function and \(\epsilon_t\) is an independent noise random variable. Clearly, the information gain reward \(r_t\) fits this pattern, being a function of \(h_t\) only. Combining the differentiable reward function with the reparametrisation assumption would mean that the general reward

\[\begin{aligned} \mathcal{J}^\text{general}(\pi) = \mathbb{E}_{p(\theta)p(h_T)p(\epsilon_{1:T})}\left[\sum_{t=1}^T r^\text{general}_t \right] \end{aligned}\]can be optimised with respect to \(\pi\) by direct policy gradients. In the experimental design context, this opens the door to two relatively simple extensions of DAD. For example, we can assign a (differentiable) cost to each design. Suppose we augment the original expected information gain objective with the negative sum of the costs of the designs. Using \(\lambda\) to trade off cost and information, we arrive at

\[\begin{aligned} \mathcal{J}^\text{costed}(\pi) = \mathcal{I}_T(\pi) - \lambda \mathbb{E}\left[\sum_{t=1}^T C(\xi_t) \right] \end{aligned}\]which we can tackle using an approach that is essentially the same as DAD. Second, we can consider different measures of the quality of the final posterior distribution. For instance, with a one-dimensional \(\theta\), we might be more interested in reducing posterior variance than posterior entropy. We could take the reward function

\[\begin{aligned} r^\text{variance}_t = \text{Var}_{p(\theta|h_{t-1})}[\theta] - \text{Var}_{p(\theta|h_{t})}[\theta]. \end{aligned}\]Whilst there are certain reasons why the entropy approach is considered more theoretically well-justified, using a different functional of the posterior distribution as a reward signal does fit relatively naturally into the DAD framework. The remaining piece of the puzzle would be whether that functional could be estimated efficiently as DAD estimates the information gain using sPCE. For the variance, we have

\[\begin{aligned} \mathbb{E}_{p(\theta)p(h_T|\theta,\pi)}\left[ \sum_{t=1}^T r^\text{variance}_t \right] \ge \text{Var}_{p(\theta)}[\theta] - \mathbb{E}_{p(\theta)p(h_T|\theta,\pi)}\left[ (\theta - f_{\phi'}(h_T))^2 \right] \end{aligned}\]where \(f_{\phi'}\) is a learnable function. Note the similarity with the Barber–Agakov bound.

## RL algorithms for Bayesian experimental design

To conclude, making the formal connection between sequential Bayesian experimental design opens up the possibility of using the vast literature on Bayesian RL and
control theory to improve our ability to plan sequential experiments.
Whilst the direct policy optimisation approach of DAD works remarkably well, understanding the connection to RL should aid us when this training method begins to break down.
The application of existing Bayesian RL algorithms to experimental design is an exciting area for new research that is well within reach.
(*2022 update*: in fact, this is the angle that several recent papers have explored.)

A case of potential difficulty for DAD, where such insights may be useful, is in long-horizon experiments. In order to plan effectively for long experiments, DAD simulates thousands of possible experimental trajectories. However, the efficiency of this simulation is likely to drop as \(T\) increases. DAD is extremely data hungry: it resimulates completely new trajectories at each gradient step. This avoids any problems of the training data becoming out-of-date, but it increases the training cost.

It is also conceivable that, in some settings, it is impossible to plan for all future eventualities. The RL analogy would be a strongly stochastic environment in which a game is selected at random from a long list at the start of play. The agent, therefore, has to first discover which game it is playing, and then to play it successfully. If all planning is conducted up-front, then the RL agent has to learn how to play every single game well before starting on the real environment. The alternative is to introduce some real data and retrain the policy as we go. In the RL setting, that would mean discovering which game is being played before knowing how to play the games, which could be achieved with a much simpler policy. Once this discovery is made with good confidence, we can retrain to learn to play that specific game. In the experimental design setting, we are often in the ‘unknown game’ setting. This is because, until we have observed some data, it is almost impossible to know which later experiments will be optimal to run. The DAD approach is to simulate different possibilities and learn to ‘play’ well across the board. The retraining alternative would be a hybrid approach between the standard greedy method and DAD in which some real data is used to retrain the policy as we progress.

## Citation

This post is an edited version of Section 7.3 from my thesis. If you’d like to cite it, you can use

```
@phdthesis{foster2022thesis,
Author = {Foster, Adam},
Title = {Variational, Monte Carlo and Policy-Based Approaches to Bayesian Experimental Design},
school = {University of Oxford},
year={2022}
}
```

## References

Adam Foster, Desi R Ivanova, Ilyas Malik and Tom Rainforth. Deep Adaptive Design: Amortizing Sequential Bayesian Experimental Design. In Proceedings of the 38th International Conference on Machine Learning, pages 3384-3395. PMLR, 2021.

Arthur Guez, David Silver, and Peter Dayan. Efficient bayes-adaptive reinforcement learning using sample-based search. In Advances in neural information processing systems, pages 1025–1033, 2012.

Xun Huan and Youssef M Marzouk. Sequential bayesian optimal experimental design via approximate dynamic programming. arXiv preprint arXiv:1604.08320, 2016.

Luisa Zintgraf, Kyriacos Shiarlis, Maximilian Igl, Sebastian Schulze, Yarin Gal, Katja Hofmann, and Shimon Whiteson. Varibad: A very good method for bayes-adaptive deep rl via meta-learning. ICLR 2020.