In this paper we introduce RL-CD, a method for solving reinforcement learning problems in non-stationary environments. The method is based on a mechanism for creating, updating and selecting one among several partial models of the environment. The partial models are incrementally built according to the system's capability of making predictions regarding a given sequence of observations. We propose, formalize and show the efficiency of this method both in a simple non-stationary environment and in a noisy scenario. We show that RL-CD performs better than two standard reinforcement learning algorithms and that it has advantages over methods specifically designed to cope with non-stationarity. Finally, we present known limitations of the method and future works.

Abstract. This paper presents a new algorithm for unsupervised incremental learning based on a Bayesian framework. The algorithm, called IGMM (for Incremental Gaussian Mixture Model), creates and continually adjusts a Gaussian Mixture Model consistent to all sequentially presented data. IGMM is particularly useful for on-line incremental clustering of data streams, as encountered in the domain of mobile robotics and animats. It creates an incremental knowledge model of the domain consisting of primitive concepts involving all observed variables. We present some preliminary results obtained using synthetic data and also consider practical issues as convergence properties discuss future developments.

This work builds upon previous efforts in online incremental learning, namely the Incremental Gaussian Mixture Network (IGMN). The IGMN is capable of learning from data streams in a single-pass by improving its model after analyzing each data point and discarding it thereafter. Nevertheless, it suffers from the scalability point-of-view, due to its asymptotic time complexity of O(NKD 3) for N data points, K Gaussian components and D dimensions, rendering it inadequate for high-dimensional data. In this work, we manage to reduce this complexity to O(NKD 2) by deriving formulas for working directly with precision matrices instead of covariance matrices. The final result is a much faster and scalable algorithm which can be applied to high dimensional tasks. This is confirmed by applying the modified algorithm to high-dimensional classification datasets.

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