Uncertainty-Aware Deep Reinforcement Learning with Calibrated Quantile Regression and Evidential Learning

We present a novel statistical approach to incorporate uncertainty awareness in model-free distributional deep reinforcement learning for mission and safety-critical robotics. Deep learning predictions are influenced by uncertainties in the data, termed as aleatoric uncertainties, as well as uncertainties in the learning process and model structure, known as epistemic uncertainties. The proposed algorithm, called as Calibrated Evidential Quantile Regression in Deep-Q Networks (CEQR-DQN), addresses key challenges associated with separately estimating aleatoric and epistemic uncertainty in stochastic robotic environments. It combines deep evidential learning with quantile calibration based on the principles of conformal inference to provide explicit, sample-free computations of global uncertainty as opposed to local estimates based on simple variance. Thereby, the proposed approach overcomes limitations of traditional methods in computational and statistical efficiency and handling of out-of-distribution (OOD) observations. Tested on a suite of representative miniaturized Atari games (i.e., MinAtar), CEQR-DQN is shown to surpass similar existing frameworks in scores and learning speed. Its ability to rigorously evaluate uncertainties improves exploration strategies and can serve as a blueprint for other uncertainty-aware robotic algorithms.