Playing against Nature: causal discovery for decision making under uncertainty

Abstract: We consider decision problems under uncertainty where the options available to a decision maker and the resulting outcome are related through a causal mechanism which is unknown to the decision maker. We ask how a decision maker can learn about this causal mechanism through sequential decision making as well as using current causal knowledge inside each round in order to make better choices had she not considered causal knowledge and propose a decision making procedure in which an agent holds \textit{beliefs} about her environment which are used to make a choice and are updated using the observed outcome. As proof of concept, we present an implementation of this causal decision making model and apply it in a simple scenario. We show that the model achieves a performance similar to the classic Q-learning while it also acquires a causal model of the environment.