With the increase of machine learning usage by industries and scientific communities in a variety of tasks such as text mining, image recognition and self-driving cars, automatic setting of hyper-parameter in learning algorithms is a key factor for obtaining good performances regardless of user expertise in the inner workings of the techniques and methodologies. In particular, for a reinforcement learning algorithm, the efficiency of an agent learning a control policy in an uncertain environment is heavily dependent on the hyper-parameters used to balance exploration with exploitation. In this work, an autonomous learning framework that integrates Bayesian optimization with Gaussian process regression to optimize the hyper-parameters of a reinforcement learning algorithm, is proposed. Also, a bandits-based approach to achieve a balance between computational costs and decreasing uncertainty about the \textit{Q}-values, is presented. A gridworld example is used to highlight how hyper-parameter configurations of a learning algorithm (SARSA) are iteratively improved based on two performance functions.

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