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Sequential Cost-Sensitive Decision Making With Reinforcement Learning

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Executive Summary

Recently, there has been increasing interest in the issues of cost-sensitive learning and decision making in a variety of applications of data mining. A number of approaches have been developed that are effective at optimizing cost-sensitive decisions when each decision is considered in isolation. However, the issue of sequential decision making, with the goal of maximizing total benefits accrued over a period of time instead of immediate benefits, has rarely been addressed. In the present paper, the authors propose a novel approach to sequential decision making based on the reinforcement learning framework. The approach attempts to learn decision rules that optimize a sequence of cost-sensitive decisions so as to maximize the total benefits accrued over time.

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