TRPO example (#336)

examples/trpo/README.md

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+# Parallelizing TRPO
+
+In this example, we show how TRPO can be parallelized using Ray. We will be
+working with John Schulman's
+[modular_rl code](https://github.com/joschu/modular_rl).
+
+For this tutorial I'll assume that you have Anaconda with Python 2.7 installed.
+
+## Setting up the single core implementation of TRPO
+
+First, we will run the original TRPO code.
+
+Install these dependencies:
+
+- [Gym](https://gym.openai.com/)
+- The following Python packages:
+
+    ```
+    pip install theano
+    pip install keras
+    pip install tabulate
+    ```
+
+Then run
+```
+git clone https://github.com/joschu/modular_rl
+cd modular_rl
+./run_pg.py --env Pong-ram-v0 --agent modular_rl.agentzoo.TrpoAgent --video 0 --n_iter 500 --filter 0
+```
+
+**Note: On some versions of Mac OS X, this produces NaNs.**
+
+On a m4.4xlarge EC2 instance, the first 10 iterations take 106s.
+
+
+Each iteration consists of two phases. In the first phase, the rollouts are
+computed (on one core). In the second phase, the objective is optimized, which
+makes use of the parallel BLAS library. The code for all of this is in
+`modular_rl/modular_rl/core.py`.
+
+```python
+for _ in xrange(cfg["n_iter"]):
+  # Rollouts ========
+  paths = get_paths(env, agent, cfg, seed_iter)
+  compute_advantage(agent.baseline, paths, gamma=cfg["gamma"], lam=cfg["lam"])
+  # VF Update ========
+  vf_stats = agent.baseline.fit(paths)
+  # Pol Update ========
+  pol_stats = agent.updater(paths)
+```
+
+We will now see how this code can be parallelized.
+
+## Parallelizing TRPO rollouts using Ray
+
+As a first step, we will parallelize the rollouts. This is done by implementing
+a function `do_rollouts_remote` similar to
+[do_rollouts_serial](https://github.com/joschu/modular_rl/blob/46a6f9a0d363a7bc1c7325ff17e2eb684612a388/modular_rl/core.py#L137),
+which will be called by
+[get_paths](https://github.com/joschu/modular_rl/blob/46a6f9a0d363a7bc1c7325ff17e2eb684612a388/modular_rl/core.py#L102)
+(called in the above code snippet).
+
+Check out the parallel version of the TRPO code.
+
+```
+git clone https://github.com/pcmoritz/modular_rl modular_rl_ray
+cd modular_rl_ray
+git checkout remote
+```
+
+You can run the code using
+```
+./run_pg.py --env Pong-ram-v0 --agent modular_rl.agentzoo.TrpoAgent --video 0 --n_iter 500 --filter 0 --remote 1 --n_rollouts 8
+```
+
+There are few [changes](https://github.com/joschu/modular_rl/compare/master...pcmoritz:23d3ebc).
+As in the [learning to play Pong example](https://github.com/amplab/ray/tree/master/examples/rl_pong),
+we use reusable variables to store the gym environment and the neural network policy. These are
+then used in the remote `do_rollout` function to do a remote rollout:
+
+```python
+@ray.remote([np.ndarray, int, int], [dict])
+def do_rollout(policy, timestep_limit, seed):
+  # Retrieve the game environment.
+  env = ray.reusables.env
+  # Set the environment seed.
+  env.seed(seed)
+  # Set the numpy seed.
+  np.random.seed(seed)
+  # Retrieve the neural network agent.
+  agent = ray.reusables.agent
+  # Set the network weights.
+  agent.set_from_flat(policy)
+  return rollout(env, agent, timestep_limit)
+```
+
+All that is left is to invoke the remote function and collect the paths.
+
+```python
+def do_rollouts_remote(agent, timestep_limit, n_timesteps, n_parallel, seed_iter):
+  # Put the neural network weights into the object store.
+  policy = ray.put(agent.get_flat())
+  paths = []
+  timesteps_sofar = 0
+  # Run parallel rollouts until we have enough.
+  while timesteps_sofar < n_timesteps:
+    # Launch rollout tasks in parallel.
+    rollout_ids = [do_rollout.remote(policy, timestep_limit, seed_iter.next()) for i in range(n_parallel)]
+    for rollout_id in rollout_ids:
+      # Retrieve the task output from the object store.
+      path = ray.get(rollout_id)
+      paths.append(path)
+      timesteps_sofar += pathlength(path)
+  return paths
+```
+
+On the same m4.4xlarge EC2 instance, the first 10 iterations now take 42s instead of
+106s.