A Scale-Independent Multi-Objective Reinforcement Learning with Convergence Analysis

Many sequential decision-making problems need optimization of different objectives which possibly conflict with each other. The conventional way to deal with a multitask problem is to establish a scalar objective function based on a linear combination of different objectives. However, for the case where we have conflicting objectives with different scales, this method needs a trial-and-error approach to properly find proper weights for the combination. As such, in most cases, this approach cannot guarantee an optimal Pareto solution. In this paper, we develop a single-agent scale-independent multi-objective reinforcement learning on the basis of the Advantage Actor-Critic (A2C) algorithm. A convergence analysis is then done for the devised multi-objective algorithm providing a convergence-in-mean guarantee. We then perform some experiments over a multitask problem to evaluate the performance of the proposed algorithm. Simulation results show the superiority of developed multi-objective A2C approach against the single-objective algorithm.