Fuzzy Q-table reinforcement learning for continues state spaces: A case study on bitcoin futures trading

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Authors
Ghorrati, Zahra
Shahnazari, Kourosh
Esmaeili, Ahmad
Matson, Eric T.
Advisors
Issue Date
2024-07-01
Type
Conference paper
Keywords
Fuzzy logic , Training , Uncertainty , Q-learning , Navigation , Neural networks , Fuzzy neural networks , Mathematical models , Convergence
Research Projects
Organizational Units
Journal Issue
Citation
Z. Ghorrati, K. Shahnazari, A. Esmaeili and E. T. Matson, "Fuzzy Q-Table Reinforcement Learning for continues State Spaces: A Case Study on Bitcoin Futures Trading," 2024 10th International Conference on Control, Decision and Information Technologies (CoDIT), Vallette, Malta, 2024, pp. 592-597, doi: 10.1109/CoDIT62066.2024.10708098.
Abstract

One of the simplest approach in Reinforcement Learning (RL) is updating Q-table using Bellman operator. While theoretical expectations hint at the potential convergence achieved by modeling the discrete Q-table with the Bellman operator, practical limitations surface in real-world scenarios. The main challenges associated with it include the exponential growth of the Q-table size with an increasing number of state dimensions and the inability to use the Q-table in continuous state spaces. Alternative approaches, such as employing neural networks to approximate the parameterized Q-function, may not necessarily result in convergence. In response to these challenges, this paper introduces an simple innovative methodology inspired by the Bellman method updating. The proposed method utilizes fuzzy rules to discretize the state space, leading to the direct use of the Bellman operator for updating the fuzzy neural network weights, effectively acting as the Fuzzy Q-table. Instead of approximating the Q-function utilizing neural network/deep neural network based on gradient approaches, the proposed method establishes a Fuzzy Q-table and updates it using the Bellman equation. This strategic decision helps to solve the convergence problem in addition to prevent entrapment in local minima problems, a common challenge faced by conventional gradient methods. The efficacy of the proposed approach is demonstrated through its application to trading in the Bitcoin Futures Market, showcasing its ability to navigate complexities and uncertainties. Beyond financial markets, this methodology presents a versatile solution applicable to a diverse range of reinforcement learning problems, addressing limitations faced by traditional Q-tables or DQN.

Table of Contents
Description
Date of Conference: 01-04 July 2024 Date Added to IEEE Xplore: 18 October 2024
Conference Location: Vallette, Malta
Publisher
IEEE
Journal
2024 10th International Conference on Control, Decision and Information Technologies (CoDIT)
Book Title
Series
PubMed ID
ISSN
2576-3555
2576-3547
EISSN