Machine Learning for Finance

Practical tips for RL engineering

In this section, we will be introducing some practical tips for building RL systems. We will also highlight some current research frontiers that are highly relevant to financial practitioners.

Designing good reward functions

Reinforcement learning is the field of designing algorithms that maximize a reward function. However, creating good reward functions is surprisingly hard. As anyone who has ever managed people will know, both people and machines game the system.

The literature on RL is full of examples of researchers finding bugs in Atari games that had been hidden for years but were found and exploited by an RL agent. For example, in the game "Fishing Derby," OpenAI has reported a reinforcement learning agent ...