Abstract: Learning in a lifelong setting, where the dynamics continually evolve, is a hard challenge for current reinforcement learning algorithms. Yet this would be a much needed feature for practical applications.

In this paper, we propose an approach which learns a hyper-policy, whose input is time, that outputs the parameters of the policy to be queried at that time.

This hyper-policy is trained to maximize the estimated future performance, efficiently reusing past data by means of importance sampling, at the cost of introducing a controlled bias. We combine the future performance estimate with the past performance to mitigate catastrophic forgetting.

To avoid overfitting the collected data, we derive a differentiable variance bound that we embed as a penalization term. Finally, we empirically validate our approach, in comparison with state-of-the-art algorithms, on realistic environments, including water resource management and trading.