  Partially observable environments present an important open challenge in the
domain of sequential control learning with delayed rewards. Despite numerous
attempts during the two last decades, the majority of reinforcement learning
algorithms and associated approximate models, applied to this context, still
assume Markovian state transitions. In this paper, we explore the use of a
recently proposed attention-based model, the Gated End-to-End Memory Network,
for sequential control. We call the resulting model the Gated End-to-End Memory
Policy Network. More precisely, we use a model-free value-based algorithm to
learn policies for partially observed domains using this memory-enhanced neural
network. This model is end-to-end learnable and it features unbounded memory.
Indeed, because of its attention mechanism and associated non-parametric
memory, the proposed model allows us to define an attention mechanism over the
observation stream unlike recurrent models. We show encouraging results that
illustrate the capability of our attention-based model in the context of the
continuous-state non-stationary control problem of stock trading. We also
present an OpenAI Gym environment for simulated stock exchange and explain its
relevance as a benchmark for the field of non-Markovian decision process
learning.
