Robust Decision-Focused Learning for Reward Transfer

Decision-focused (DF) model-based reinforcement learning has recently been introduced as a powerful algorithm which can focus on learning the MDP dynamics which are most relevant for obtaining high rewards. While this approach increases the performance of agents by focusing the learning towards optimizing for the reward directly, it does so by learning less accurate dynamics (from a MLE standpoint), and may thus be brittle to changes in the reward function. In this work, we develop the robust decision-focused (RDF) algorithm which leverages the non-identifiability of DF solutions to learn models which maximize expected returns while simultaneously learning models which are robust to changes in the reward function. We demonstrate on a variety of toy example and healthcare simulators that RDF significantly increases the robustness of DF to changes in the reward function, without decreasing the overall return the agent obtains.