Abstract:Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes the core and fundamental topic in reinforcement learning (RL), especially under non-episodic situations where online learning is much more demanding. This challenge has been notably addressed in Bayesian RL recently where some approximation techniques have been developed to find suboptimal policies. While existing approaches mainly focus on approximating the value function, or on involving Thompson sampling, we propose a novel two-layer solution scheme in this paper to approximate the optimal policy directly, by combining the time-decomposition based dynamic programming (DP) at the lower layer and the scenario-decomposition based revised progressive hedging algorithm (PHA) at the upper layer, for a type of Bayesian RL problem. The key feature of our approach is to separate reducible system uncertainty from irreducible one at two different layers, thus decomposing and conquering. We demonstrate our solution framework more especially via the linear-quadratic-Gaussian problem with unknown gain, which, although seemingly simple, has been a notorious subject over more than half century in dual control.