gTLO: A Generalized and Non-linear Multi-Objective Deep Reinforcement Learning Approach

In real-world decision optimization, often multiple competing objectives must be taken into account. Following classical reinforcement learning, these objectives have to be combined into a single reward function. In contrast, multi-objective reinforcement learning (MORL) methods learn from vectors of per-objective rewards instead. In the case of multi-policy MORL, sets of decision policies for various preferences regarding the conflicting objectives are optimized. This is especially important when target preferences are not known during training or when preferences change dynamically during application. While it is, in general, straightforward to extend a single-objective reinforcement learning method for MORL based on linear scalarization, solutions that are reachable by these methods are limited to convex regions of the Pareto front. Non-linear MORL methods like Thresholded Lexicographic Ordering (TLO) are designed to overcome this limitation. Generalized MORL methods utilize function approximation to generalize across objective preferences and thereby implicitly learn multiple policies in a data-efficient manner, even for complex decision problems with high-dimensional or continuous state spaces. In this work, we propose \textit{generalized Thresholded Lexicographic Ordering} (gTLO), a novel method that aims to combine non-linear MORL with the advantages of generalized MORL. We introduce a deep reinforcement learning realization of the algorithm and present promising results on a standard benchmark for non-linear MORL and a real-world application from the domain of manufacturing process control.