diff --git a/README.md b/README.md
index ab9e43f..f189f36 100644
--- a/README.md
+++ b/README.md
@@ -22,6 +22,7 @@
 - [Double DQN](https://arxiv.org/pdf/1509.06461.pdf)
 - [Dueling DQN](https://arxiv.org/pdf/1511.06581.pdf)
 - [Categorical DQN (C51)](https://arxiv.org/pdf/1707.06887.pdf)
+- [Rainbow DQN (Rainbow)](https://arxiv.org/pdf/1710.02298.pdf)
 - [Quantile Regression DQN (QRDQN)](https://arxiv.org/pdf/1710.10044.pdf)
 - [Implicit Quantile Network (IQN)](https://arxiv.org/pdf/1806.06923.pdf)
 - [Fully-parameterized Quantile Function (FQF)](https://arxiv.org/pdf/1911.02140.pdf)
diff --git a/docs/api/tianshou.policy.rst b/docs/api/tianshou.policy.rst
index 39f478c..b05f5be 100644
--- a/docs/api/tianshou.policy.rst
+++ b/docs/api/tianshou.policy.rst
@@ -30,6 +30,11 @@ DQN Family
    :undoc-members:
    :show-inheritance:
 
+.. autoclass:: tianshou.policy.RainbowPolicy
+   :members:
+   :undoc-members:
+   :show-inheritance:
+
 .. autoclass:: tianshou.policy.QRDQNPolicy
    :members:
    :undoc-members:
diff --git a/docs/index.rst b/docs/index.rst
index 4afe03a..5c33245 100644
--- a/docs/index.rst
+++ b/docs/index.rst
@@ -13,6 +13,7 @@ Welcome to Tianshou!
 * :class:`~tianshou.policy.DQNPolicy` `Double DQN <https://arxiv.org/pdf/1509.06461.pdf>`_
 * :class:`~tianshou.policy.DQNPolicy` `Dueling DQN <https://arxiv.org/pdf/1511.06581.pdf>`_
 * :class:`~tianshou.policy.C51Policy` `Categorical DQN <https://arxiv.org/pdf/1707.06887.pdf>`_
+* :class:`~tianshou.policy.RainbowPolicy` `Rainbow DQN <https://arxiv.org/pdf/1707.02298.pdf>`_
 * :class:`~tianshou.policy.QRDQNPolicy` `Quantile Regression DQN <https://arxiv.org/pdf/1710.10044.pdf>`_
 * :class:`~tianshou.policy.IQNPolicy` `Implicit Quantile Network <https://arxiv.org/pdf/1806.06923.pdf>`_
 * :class:`~tianshou.policy.FQFPolicy` `Fully-parameterized Quantile Function <https://arxiv.org/pdf/1911.02140.pdf>`_
diff --git a/examples/atari/README.md b/examples/atari/README.md
index a46fcac..ffccecb 100644
--- a/examples/atari/README.md
+++ b/examples/atari/README.md
@@ -82,6 +82,20 @@ One epoch here is equal to 100,000 env step, 100 epochs stand for 10M.
 | SeaquestNoFrameskip-v4      | 10775       | ![](results/fqf/Seaquest_rew.png)     | `python3 atari_fqf.py --task "SeaquestNoFrameskip-v4"`  |
 | SpaceInvadersNoFrameskip-v4 | 2482        | ![](results/fqf/SpaceInvaders_rew.png) | `python3 atari_fqf.py --task "SpaceInvadersNoFrameskip-v4"`  |
 
+# Rainbow (single run)
+
+One epoch here is equal to 100,000 env step, 100 epochs stand for 10M.
+
+| task                        | best reward | reward curve                          | parameters                                                   |
+| --------------------------- | ----------- | ------------------------------------- | ------------------------------------------------------------ |
+| PongNoFrameskip-v4          | 21        | ![](results/rainbow/Pong_rew.png)         | `python3 atari_rainbow.py --task "PongNoFrameskip-v4" --batch-size 64` |
+| BreakoutNoFrameskip-v4      | 684.6        | ![](results/rainbow/Breakout_rew.png)     | `python3 atari_rainbow.py --task "BreakoutNoFrameskip-v4" --n-step 1` |
+| EnduroNoFrameskip-v4        | 1625.9       | ![](results/rainbow/Enduro_rew.png)       | `python3 atari_rainbow.py --task "EnduroNoFrameskip-v4"`  |
+| QbertNoFrameskip-v4         | 16192.5     | ![](results/rainbow/Qbert_rew.png)        | `python3 atari_rainbow.py --task "QbertNoFrameskip-v4"`  |
+| MsPacmanNoFrameskip-v4      | 3101        | ![](results/rainbow/MsPacman_rew.png)     | `python3 atari_rainbow.py --task "MsPacmanNoFrameskip-v4"`  |
+| SeaquestNoFrameskip-v4      | 2126       | ![](results/rainbow/Seaquest_rew.png)     | `python3 atari_rainbow.py --task "SeaquestNoFrameskip-v4"`  |
+| SpaceInvadersNoFrameskip-v4 | 1794.5       | ![](results/rainbow/SpaceInvaders_rew.png) | `python3 atari_rainbow.py --task "SpaceInvadersNoFrameskip-v4"`  |
+
 # BCQ
 
 To running BCQ algorithm on Atari, you need to do the following things:
diff --git a/examples/atari/atari_network.py b/examples/atari/atari_network.py
index f531d96..2eccf11 100644
--- a/examples/atari/atari_network.py
+++ b/examples/atari/atari_network.py
@@ -2,6 +2,7 @@ import torch
 import numpy as np
 from torch import nn
 from typing import Any, Dict, Tuple, Union, Optional, Sequence
+from tianshou.utils.net.discrete import NoisyLinear
 
 
 class DQN(nn.Module):
@@ -81,6 +82,65 @@ class C51(DQN):
         return x, state
 
 
+class Rainbow(DQN):
+    """Reference: Rainbow: Combining Improvements in Deep Reinforcement Learning.
+
+    For advanced usage (how to customize the network), please refer to
+    :ref:`build_the_network`.
+    """
+
+    def __init__(
+        self,
+        c: int,
+        h: int,
+        w: int,
+        action_shape: Sequence[int],
+        num_atoms: int = 51,
+        noisy_std: float = 0.5,
+        device: Union[str, int, torch.device] = "cpu",
+        is_dueling: bool = True,
+        is_noisy: bool = True,
+    ) -> None:
+        super().__init__(c, h, w, action_shape, device, features_only=True)
+        self.action_num = np.prod(action_shape)
+        self.num_atoms = num_atoms
+
+        def linear(x, y):
+            if is_noisy:
+                return NoisyLinear(x, y, noisy_std)
+            else:
+                return nn.Linear(x, y)
+
+        self.Q = nn.Sequential(
+            linear(self.output_dim, 512), nn.ReLU(inplace=True),
+            linear(512, self.action_num * self.num_atoms))
+        self._is_dueling = is_dueling
+        if self._is_dueling:
+            self.V = nn.Sequential(
+                linear(self.output_dim, 512), nn.ReLU(inplace=True),
+                linear(512, self.num_atoms))
+        self.output_dim = self.action_num * self.num_atoms
+
+    def forward(
+        self,
+        x: Union[np.ndarray, torch.Tensor],
+        state: Optional[Any] = None,
+        info: Dict[str, Any] = {},
+    ) -> Tuple[torch.Tensor, Any]:
+        r"""Mapping: x -> Z(x, \*)."""
+        x, state = super().forward(x)
+        q = self.Q(x)
+        q = q.view(-1, self.action_num, self.num_atoms)
+        if self._is_dueling:
+            v = self.V(x)
+            v = v.view(-1, 1, self.num_atoms)
+            logits = q - q.mean(dim=1, keepdim=True) + v
+        else:
+            logits = q
+        y = logits.softmax(dim=2)
+        return y, state
+
+
 class QRDQN(DQN):
     """Reference: Distributional Reinforcement Learning with Quantile \
     Regression.
diff --git a/examples/atari/atari_rainbow.py b/examples/atari/atari_rainbow.py
new file mode 100644
index 0000000..941df5c
--- /dev/null
+++ b/examples/atari/atari_rainbow.py
@@ -0,0 +1,204 @@
+import os
+import torch
+import pprint
+import datetime
+import argparse
+import numpy as np
+from torch.utils.tensorboard import SummaryWriter
+
+from tianshou.policy import RainbowPolicy
+from tianshou.utils import BasicLogger
+from tianshou.env import SubprocVectorEnv
+from tianshou.trainer import offpolicy_trainer
+from tianshou.data import Collector, PrioritizedVectorReplayBuffer, VectorReplayBuffer
+
+from atari_network import Rainbow
+from atari_wrapper import wrap_deepmind
+
+
+def get_args():
+    parser = argparse.ArgumentParser()
+    parser.add_argument('--task', type=str, default='PongNoFrameskip-v4')
+    parser.add_argument('--seed', type=int, default=0)
+    parser.add_argument('--eps-test', type=float, default=0.005)
+    parser.add_argument('--eps-train', type=float, default=1.)
+    parser.add_argument('--eps-train-final', type=float, default=0.05)
+    parser.add_argument('--buffer-size', type=int, default=100000)
+    parser.add_argument('--lr', type=float, default=0.0000625)
+    parser.add_argument('--gamma', type=float, default=0.99)
+    parser.add_argument('--num-atoms', type=int, default=51)
+    parser.add_argument('--v-min', type=float, default=-10.)
+    parser.add_argument('--v-max', type=float, default=10.)
+    parser.add_argument('--noisy-std', type=float, default=0.1)
+    parser.add_argument('--no-dueling', action='store_true', default=False)
+    parser.add_argument('--no-noisy', action='store_true', default=False)
+    parser.add_argument('--no-priority', action='store_true', default=False)
+    parser.add_argument('--alpha', type=float, default=0.5)
+    parser.add_argument('--beta', type=float, default=0.4)
+    parser.add_argument('--beta-final', type=float, default=1.)
+    parser.add_argument('--beta-anneal-step', type=int, default=5000000)
+    parser.add_argument('--no-weight-norm', action='store_true', default=False)
+    parser.add_argument('--n-step', type=int, default=3)
+    parser.add_argument('--target-update-freq', type=int, default=500)
+    parser.add_argument('--epoch', type=int, default=100)
+    parser.add_argument('--step-per-epoch', type=int, default=100000)
+    parser.add_argument('--step-per-collect', type=int, default=10)
+    parser.add_argument('--update-per-step', type=float, default=0.1)
+    parser.add_argument('--batch-size', type=int, default=32)
+    parser.add_argument('--training-num', type=int, default=10)
+    parser.add_argument('--test-num', type=int, default=10)
+    parser.add_argument('--logdir', type=str, default='log')
+    parser.add_argument('--render', type=float, default=0.)
+    parser.add_argument(
+        '--device', type=str,
+        default='cuda' if torch.cuda.is_available() else 'cpu')
+    parser.add_argument('--frames-stack', type=int, default=4)
+    parser.add_argument('--resume-path', type=str, default=None)
+    parser.add_argument('--watch', default=False, action='store_true',
+                        help='watch the play of pre-trained policy only')
+    parser.add_argument('--save-buffer-name', type=str, default=None)
+    return parser.parse_args()
+
+
+def make_atari_env(args):
+    return wrap_deepmind(args.task, frame_stack=args.frames_stack)
+
+
+def make_atari_env_watch(args):
+    return wrap_deepmind(args.task, frame_stack=args.frames_stack,
+                         episode_life=False, clip_rewards=False)
+
+
+def test_rainbow(args=get_args()):
+    env = make_atari_env(args)
+    args.state_shape = env.observation_space.shape or env.observation_space.n
+    args.action_shape = env.action_space.shape or env.action_space.n
+    # should be N_FRAMES x H x W
+    print("Observations shape:", args.state_shape)
+    print("Actions shape:", args.action_shape)
+    # make environments
+    train_envs = SubprocVectorEnv([lambda: make_atari_env(args)
+                                   for _ in range(args.training_num)])
+    test_envs = SubprocVectorEnv([lambda: make_atari_env_watch(args)
+                                  for _ in range(args.test_num)])
+    # seed
+    np.random.seed(args.seed)
+    torch.manual_seed(args.seed)
+    train_envs.seed(args.seed)
+    test_envs.seed(args.seed)
+    # define model
+    net = Rainbow(*args.state_shape, args.action_shape,
+                  args.num_atoms, args.noisy_std, args.device,
+                  is_dueling=not args.no_dueling,
+                  is_noisy=not args.no_noisy)
+    optim = torch.optim.Adam(net.parameters(), lr=args.lr)
+    # define policy
+    policy = RainbowPolicy(
+        net, optim, args.gamma, args.num_atoms, args.v_min, args.v_max,
+        args.n_step, target_update_freq=args.target_update_freq
+    ).to(args.device)
+    # load a previous policy
+    if args.resume_path:
+        policy.load_state_dict(torch.load(args.resume_path, map_location=args.device))
+        print("Loaded agent from: ", args.resume_path)
+    # replay buffer: `save_last_obs` and `stack_num` can be removed together
+    # when you have enough RAM
+    if args.no_priority:
+        buffer = VectorReplayBuffer(
+            args.buffer_size, buffer_num=len(train_envs), ignore_obs_next=True,
+            save_only_last_obs=True, stack_num=args.frames_stack)
+    else:
+        buffer = PrioritizedVectorReplayBuffer(
+            args.buffer_size, buffer_num=len(train_envs), ignore_obs_next=True,
+            save_only_last_obs=True, stack_num=args.frames_stack, alpha=args.alpha,
+            beta=args.beta, weight_norm=not args.no_weight_norm)
+    # collector
+    train_collector = Collector(policy, train_envs, buffer, exploration_noise=True)
+    test_collector = Collector(policy, test_envs, exploration_noise=True)
+    # log
+    log_path = os.path.join(
+        args.logdir, args.task, 'rainbow',
+        f'seed_{args.seed}_{datetime.datetime.now().strftime("%m%d-%H%M%S")}')
+    writer = SummaryWriter(log_path)
+    writer.add_text("args", str(args))
+    logger = BasicLogger(writer)
+
+    def save_fn(policy):
+        torch.save(policy.state_dict(), os.path.join(log_path, 'policy.pth'))
+
+    def stop_fn(mean_rewards):
+        if env.spec.reward_threshold:
+            return mean_rewards >= env.spec.reward_threshold
+        elif 'Pong' in args.task:
+            return mean_rewards >= 20
+        else:
+            return False
+
+    def train_fn(epoch, env_step):
+        # nature DQN setting, linear decay in the first 1M steps
+        if env_step <= 1e6:
+            eps = args.eps_train - env_step / 1e6 * \
+                (args.eps_train - args.eps_train_final)
+        else:
+            eps = args.eps_train_final
+        policy.set_eps(eps)
+        logger.write('train/eps', env_step, eps)
+        if not args.no_priority:
+            if env_step <= args.beta_anneal_step:
+                beta = args.beta - env_step / args.beta_anneal_step * \
+                    (args.beta - args.beta_final)
+            else:
+                beta = args.beta_final
+            buffer.set_beta(beta)
+            logger.write('train/beta', env_step, beta)
+
+    def test_fn(epoch, env_step):
+        policy.set_eps(args.eps_test)
+
+    # watch agent's performance
+    def watch():
+        print("Setup test envs ...")
+        policy.eval()
+        policy.set_eps(args.eps_test)
+        test_envs.seed(args.seed)
+        if args.save_buffer_name:
+            print(f"Generate buffer with size {args.buffer_size}")
+            buffer = PrioritizedVectorReplayBuffer(
+                args.buffer_size, buffer_num=len(test_envs),
+                ignore_obs_next=True, save_only_last_obs=True,
+                stack_num=args.frames_stack, alpha=args.alpha,
+                beta=args.beta)
+            collector = Collector(policy, test_envs, buffer,
+                                  exploration_noise=True)
+            result = collector.collect(n_step=args.buffer_size)
+            print(f"Save buffer into {args.save_buffer_name}")
+            # Unfortunately, pickle will cause oom with 1M buffer size
+            buffer.save_hdf5(args.save_buffer_name)
+        else:
+            print("Testing agent ...")
+            test_collector.reset()
+            result = test_collector.collect(n_episode=args.test_num,
+                                            render=args.render)
+        rew = result["rews"].mean()
+        print(f'Mean reward (over {result["n/ep"]} episodes): {rew}')
+
+    if args.watch:
+        watch()
+        exit(0)
+
+    # test train_collector and start filling replay buffer
+    train_collector.collect(n_step=args.batch_size * args.training_num)
+    # trainer
+    result = offpolicy_trainer(
+        policy, train_collector, test_collector, args.epoch,
+        args.step_per_epoch, args.step_per_collect, args.test_num,
+        args.batch_size, train_fn=train_fn, test_fn=test_fn,
+        stop_fn=stop_fn, save_fn=save_fn, logger=logger,
+        update_per_step=args.update_per_step, test_in_train=False)
+
+    pprint.pprint(result)
+    watch()
+
+
+if __name__ == '__main__':
+    test_rainbow(get_args())
diff --git a/examples/atari/results/rainbow/Breakout_rew.png b/examples/atari/results/rainbow/Breakout_rew.png
new file mode 100644
index 0000000..b2071cc
Binary files /dev/null and b/examples/atari/results/rainbow/Breakout_rew.png differ
diff --git a/examples/atari/results/rainbow/Enduro_rew.png b/examples/atari/results/rainbow/Enduro_rew.png
new file mode 100644
index 0000000..f6b913f
Binary files /dev/null and b/examples/atari/results/rainbow/Enduro_rew.png differ
diff --git a/examples/atari/results/rainbow/MsPacman_rew.png b/examples/atari/results/rainbow/MsPacman_rew.png
new file mode 100644
index 0000000..2b51f2d
Binary files /dev/null and b/examples/atari/results/rainbow/MsPacman_rew.png differ
diff --git a/examples/atari/results/rainbow/Pong_rew.png b/examples/atari/results/rainbow/Pong_rew.png
new file mode 100644
index 0000000..3566cfb
Binary files /dev/null and b/examples/atari/results/rainbow/Pong_rew.png differ
diff --git a/examples/atari/results/rainbow/Qbert_rew.png b/examples/atari/results/rainbow/Qbert_rew.png
new file mode 100644
index 0000000..1644ab8
Binary files /dev/null and b/examples/atari/results/rainbow/Qbert_rew.png differ
diff --git a/examples/atari/results/rainbow/Seaquest_rew.png b/examples/atari/results/rainbow/Seaquest_rew.png
new file mode 100644
index 0000000..9c5898a
Binary files /dev/null and b/examples/atari/results/rainbow/Seaquest_rew.png differ
diff --git a/examples/atari/results/rainbow/SpaceInvaders_rew.png b/examples/atari/results/rainbow/SpaceInvaders_rew.png
new file mode 100644
index 0000000..2182ee8
Binary files /dev/null and b/examples/atari/results/rainbow/SpaceInvaders_rew.png differ
diff --git a/test/base/test_buffer.py b/test/base/test_buffer.py
index 04b99aa..39e5bad 100644
--- a/test/base/test_buffer.py
+++ b/test/base/test_buffer.py
@@ -193,7 +193,7 @@ def test_priortized_replaybuffer(size=32, bufsize=15):
     mask = np.isin(np.arange(buf2.maxsize), indices)
     assert np.all(weight[mask] == weight[mask][0])
     assert np.all(weight[~mask] == weight[~mask][0])
-    assert weight[~mask][0] < weight[mask][0] and weight[mask][0] < 1
+    assert weight[~mask][0] < weight[mask][0] and weight[mask][0] <= 1
 
 
 def test_update():
diff --git a/test/discrete/test_qrdqn.py b/test/discrete/test_qrdqn.py
index 27c6d65..956099b 100644
--- a/test/discrete/test_qrdqn.py
+++ b/test/discrete/test_qrdqn.py
@@ -54,6 +54,8 @@ def get_args():
 
 def test_qrdqn(args=get_args()):
     env = gym.make(args.task)
+    if args.task == 'CartPole-v0':
+        env.spec.reward_threshold = 190  # lower the goal
     args.state_shape = env.observation_space.shape or env.observation_space.n
     args.action_shape = env.action_space.shape or env.action_space.n
     # train_envs = gym.make(args.task)
diff --git a/test/discrete/test_qrdqn_il_cql.py b/test/discrete/test_qrdqn_il_cql.py
index 7a782dd..423506b 100644
--- a/test/discrete/test_qrdqn_il_cql.py
+++ b/test/discrete/test_qrdqn_il_cql.py
@@ -50,7 +50,7 @@ def test_discrete_cql(args=get_args()):
     # envs
     env = gym.make(args.task)
     if args.task == 'CartPole-v0':
-        env.spec.reward_threshold = 190  # lower the goal
+        env.spec.reward_threshold = 185  # lower the goal
     args.state_shape = env.observation_space.shape or env.observation_space.n
     args.action_shape = env.action_space.shape or env.action_space.n
     test_envs = DummyVectorEnv(
diff --git a/test/discrete/test_rainbow.py b/test/discrete/test_rainbow.py
new file mode 100644
index 0000000..cb48fe8
--- /dev/null
+++ b/test/discrete/test_rainbow.py
@@ -0,0 +1,198 @@
+import os
+import gym
+import torch
+import pickle
+import pprint
+import argparse
+import numpy as np
+from torch.utils.tensorboard import SummaryWriter
+
+from tianshou.policy import RainbowPolicy
+from tianshou.utils import BasicLogger
+from tianshou.env import DummyVectorEnv
+from tianshou.utils.net.common import Net
+from tianshou.utils.net.discrete import NoisyLinear
+from tianshou.trainer import offpolicy_trainer
+from tianshou.data import Collector, VectorReplayBuffer, PrioritizedVectorReplayBuffer
+
+
+def get_args():
+    parser = argparse.ArgumentParser()
+    parser.add_argument('--task', type=str, default='CartPole-v0')
+    parser.add_argument('--seed', type=int, default=1626)
+    parser.add_argument('--eps-test', type=float, default=0.05)
+    parser.add_argument('--eps-train', type=float, default=0.1)
+    parser.add_argument('--buffer-size', type=int, default=20000)
+    parser.add_argument('--lr', type=float, default=1e-3)
+    parser.add_argument('--gamma', type=float, default=0.9)
+    parser.add_argument('--num-atoms', type=int, default=51)
+    parser.add_argument('--v-min', type=float, default=-10.)
+    parser.add_argument('--v-max', type=float, default=10.)
+    parser.add_argument('--noisy-std', type=float, default=0.1)
+    parser.add_argument('--n-step', type=int, default=3)
+    parser.add_argument('--target-update-freq', type=int, default=320)
+    parser.add_argument('--epoch', type=int, default=10)
+    parser.add_argument('--step-per-epoch', type=int, default=8000)
+    parser.add_argument('--step-per-collect', type=int, default=8)
+    parser.add_argument('--update-per-step', type=float, default=0.125)
+    parser.add_argument('--batch-size', type=int, default=64)
+    parser.add_argument('--hidden-sizes', type=int,
+                        nargs='*', default=[128, 128, 128, 128])
+    parser.add_argument('--training-num', type=int, default=8)
+    parser.add_argument('--test-num', type=int, default=100)
+    parser.add_argument('--logdir', type=str, default='log')
+    parser.add_argument('--render', type=float, default=0.)
+    parser.add_argument('--prioritized-replay',
+                        action="store_true", default=False)
+    parser.add_argument('--alpha', type=float, default=0.6)
+    parser.add_argument('--beta', type=float, default=0.4)
+    parser.add_argument('--beta-final', type=float, default=1.)
+    parser.add_argument('--resume', action="store_true")
+    parser.add_argument(
+        '--device', type=str,
+        default='cuda' if torch.cuda.is_available() else 'cpu')
+    parser.add_argument("--save-interval", type=int, default=4)
+    args = parser.parse_known_args()[0]
+    return args
+
+
+def test_rainbow(args=get_args()):
+    env = gym.make(args.task)
+    args.state_shape = env.observation_space.shape or env.observation_space.n
+    args.action_shape = env.action_space.shape or env.action_space.n
+    # train_envs = gym.make(args.task)
+    # you can also use tianshou.env.SubprocVectorEnv
+    train_envs = DummyVectorEnv(
+        [lambda: gym.make(args.task) for _ in range(args.training_num)])
+    # test_envs = gym.make(args.task)
+    test_envs = DummyVectorEnv(
+        [lambda: gym.make(args.task) for _ in range(args.test_num)])
+    # seed
+    np.random.seed(args.seed)
+    torch.manual_seed(args.seed)
+    train_envs.seed(args.seed)
+    test_envs.seed(args.seed)
+    # model
+
+    def noisy_linear(x, y):
+        return NoisyLinear(x, y, args.noisy_std)
+
+    net = Net(args.state_shape, args.action_shape,
+              hidden_sizes=args.hidden_sizes, device=args.device,
+              softmax=True, num_atoms=args.num_atoms,
+              dueling_param=({"linear_layer": noisy_linear},
+                             {"linear_layer": noisy_linear}))
+    optim = torch.optim.Adam(net.parameters(), lr=args.lr)
+    policy = RainbowPolicy(
+        net, optim, args.gamma, args.num_atoms, args.v_min, args.v_max,
+        args.n_step, target_update_freq=args.target_update_freq
+    ).to(args.device)
+    # buffer
+    if args.prioritized_replay:
+        buf = PrioritizedVectorReplayBuffer(
+            args.buffer_size, buffer_num=len(train_envs),
+            alpha=args.alpha, beta=args.beta, weight_norm=True)
+    else:
+        buf = VectorReplayBuffer(args.buffer_size, buffer_num=len(train_envs))
+    # collector
+    train_collector = Collector(policy, train_envs, buf, exploration_noise=True)
+    test_collector = Collector(policy, test_envs, exploration_noise=True)
+    # policy.set_eps(1)
+    train_collector.collect(n_step=args.batch_size * args.training_num)
+    # log
+    log_path = os.path.join(args.logdir, args.task, 'rainbow')
+    writer = SummaryWriter(log_path)
+    logger = BasicLogger(writer, save_interval=args.save_interval)
+
+    def save_fn(policy):
+        torch.save(policy.state_dict(), os.path.join(log_path, 'policy.pth'))
+
+    def stop_fn(mean_rewards):
+        return mean_rewards >= env.spec.reward_threshold
+
+    def train_fn(epoch, env_step):
+        # eps annealing, just a demo
+        if env_step <= 10000:
+            policy.set_eps(args.eps_train)
+        elif env_step <= 50000:
+            eps = args.eps_train - (env_step - 10000) / \
+                40000 * (0.9 * args.eps_train)
+            policy.set_eps(eps)
+        else:
+            policy.set_eps(0.1 * args.eps_train)
+        # beta annealing, just a demo
+        if args.prioritized_replay:
+            if env_step <= 10000:
+                beta = args.beta
+            elif env_step <= 50000:
+                beta = args.beta - (env_step - 10000) / \
+                    40000 * (args.beta - args.beta_final)
+            else:
+                beta = args.beta_final
+            buf.set_beta(beta)
+
+    def test_fn(epoch, env_step):
+        policy.set_eps(args.eps_test)
+
+    def save_checkpoint_fn(epoch, env_step, gradient_step):
+        # see also: https://pytorch.org/tutorials/beginner/saving_loading_models.html
+        torch.save({
+            'model': policy.state_dict(),
+            'optim': optim.state_dict(),
+        }, os.path.join(log_path, 'checkpoint.pth'))
+        pickle.dump(train_collector.buffer,
+                    open(os.path.join(log_path, 'train_buffer.pkl'), "wb"))
+
+    if args.resume:
+        # load from existing checkpoint
+        print(f"Loading agent under {log_path}")
+        ckpt_path = os.path.join(log_path, 'checkpoint.pth')
+        if os.path.exists(ckpt_path):
+            checkpoint = torch.load(ckpt_path, map_location=args.device)
+            policy.load_state_dict(checkpoint['model'])
+            policy.optim.load_state_dict(checkpoint['optim'])
+            print("Successfully restore policy and optim.")
+        else:
+            print("Fail to restore policy and optim.")
+        buffer_path = os.path.join(log_path, 'train_buffer.pkl')
+        if os.path.exists(buffer_path):
+            train_collector.buffer = pickle.load(open(buffer_path, "rb"))
+            print("Successfully restore buffer.")
+        else:
+            print("Fail to restore buffer.")
+
+    # trainer
+    result = offpolicy_trainer(
+        policy, train_collector, test_collector, args.epoch,
+        args.step_per_epoch, args.step_per_collect, args.test_num,
+        args.batch_size, update_per_step=args.update_per_step, train_fn=train_fn,
+        test_fn=test_fn, stop_fn=stop_fn, save_fn=save_fn, logger=logger,
+        resume_from_log=args.resume, save_checkpoint_fn=save_checkpoint_fn)
+    assert stop_fn(result['best_reward'])
+
+    if __name__ == '__main__':
+        pprint.pprint(result)
+        # Let's watch its performance!
+        env = gym.make(args.task)
+        policy.eval()
+        policy.set_eps(args.eps_test)
+        collector = Collector(policy, env)
+        result = collector.collect(n_episode=1, render=args.render)
+        rews, lens = result["rews"], result["lens"]
+        print(f"Final reward: {rews.mean()}, length: {lens.mean()}")
+
+
+def test_rainbow_resume(args=get_args()):
+    args.resume = True
+    test_rainbow(args)
+
+
+def test_prainbow(args=get_args()):
+    args.prioritized_replay = True
+    args.gamma = .95
+    args.seed = 1
+    test_rainbow(args)
+
+
+if __name__ == '__main__':
+    test_rainbow(get_args())
diff --git a/tianshou/data/buffer/prio.py b/tianshou/data/buffer/prio.py
index d89678a..a4357d5 100644
--- a/tianshou/data/buffer/prio.py
+++ b/tianshou/data/buffer/prio.py
@@ -10,13 +10,22 @@ class PrioritizedReplayBuffer(ReplayBuffer):
 
     :param float alpha: the prioritization exponent.
     :param float beta: the importance sample soft coefficient.
+    :param bool weight_norm: whether to normalize returned weights with the maximum
+        weight value within the batch. Default to True.
 
     .. seealso::
 
         Please refer to :class:`~tianshou.data.ReplayBuffer` for other APIs' usage.
     """
 
-    def __init__(self, size: int, alpha: float, beta: float, **kwargs: Any) -> None:
+    def __init__(
+        self,
+        size: int,
+        alpha: float,
+        beta: float,
+        weight_norm: bool = True,
+        **kwargs: Any
+    ) -> None:
         # will raise KeyError in PrioritizedVectorReplayBuffer
         # super().__init__(size, **kwargs)
         ReplayBuffer.__init__(self, size, **kwargs)
@@ -27,6 +36,7 @@ class PrioritizedReplayBuffer(ReplayBuffer):
         self.weight = SegmentTree(size)
         self.__eps = np.finfo(np.float32).eps.item()
         self.options.update(alpha=alpha, beta=beta)
+        self._weight_norm = weight_norm
 
     def init_weight(self, index: Union[int, np.ndarray]) -> None:
         self.weight[index] = self._max_prio ** self._alpha
@@ -83,5 +93,10 @@ class PrioritizedReplayBuffer(ReplayBuffer):
         else:
             indices = index
         batch = super().__getitem__(indices)
-        batch.weight = self.get_weight(indices)
+        weight = self.get_weight(indices)
+        # ref: https://github.com/Kaixhin/Rainbow/blob/master/memory.py L154
+        batch.weight = weight / np.max(weight) if self._weight_norm else weight
         return batch
+
+    def set_beta(self, beta: float) -> None:
+        self._beta = beta
diff --git a/tianshou/data/buffer/vecbuf.py b/tianshou/data/buffer/vecbuf.py
index 1cfeae9..374765b 100644
--- a/tianshou/data/buffer/vecbuf.py
+++ b/tianshou/data/buffer/vecbuf.py
@@ -55,3 +55,7 @@ class PrioritizedVectorReplayBuffer(PrioritizedReplayBufferManager):
             PrioritizedReplayBuffer(size, **kwargs) for _ in range(buffer_num)
         ]
         super().__init__(buffer_list)
+
+    def set_beta(self, beta: float) -> None:
+        for buffer in self.buffers:
+            buffer.set_beta(beta)
diff --git a/tianshou/policy/__init__.py b/tianshou/policy/__init__.py
index 9dd879c..8a9c647 100644
--- a/tianshou/policy/__init__.py
+++ b/tianshou/policy/__init__.py
@@ -2,6 +2,7 @@ from tianshou.policy.base import BasePolicy
 from tianshou.policy.random import RandomPolicy
 from tianshou.policy.modelfree.dqn import DQNPolicy
 from tianshou.policy.modelfree.c51 import C51Policy
+from tianshou.policy.modelfree.rainbow import RainbowPolicy
 from tianshou.policy.modelfree.qrdqn import QRDQNPolicy
 from tianshou.policy.modelfree.iqn import IQNPolicy
 from tianshou.policy.modelfree.fqf import FQFPolicy
@@ -27,6 +28,7 @@ __all__ = [
     "RandomPolicy",
     "DQNPolicy",
     "C51Policy",
+    "RainbowPolicy",
     "QRDQNPolicy",
     "IQNPolicy",
     "FQFPolicy",
diff --git a/tianshou/policy/modelfree/rainbow.py b/tianshou/policy/modelfree/rainbow.py
new file mode 100644
index 0000000..7aa4c68
--- /dev/null
+++ b/tianshou/policy/modelfree/rainbow.py
@@ -0,0 +1,37 @@
+from typing import Any, Dict
+
+from tianshou.policy import C51Policy
+from tianshou.data import Batch
+from tianshou.utils.net.discrete import sample_noise
+
+
+class RainbowPolicy(C51Policy):
+    """Implementation of Rainbow DQN. arXiv:1710.02298.
+
+    :param torch.nn.Module model: a model following the rules in
+        :class:`~tianshou.policy.BasePolicy`. (s -> logits)
+    :param torch.optim.Optimizer optim: a torch.optim for optimizing the model.
+    :param float discount_factor: in [0, 1].
+    :param int num_atoms: the number of atoms in the support set of the
+        value distribution. Default to 51.
+    :param float v_min: the value of the smallest atom in the support set.
+        Default to -10.0.
+    :param float v_max: the value of the largest atom in the support set.
+        Default to 10.0.
+    :param int estimation_step: the number of steps to look ahead. Default to 1.
+    :param int target_update_freq: the target network update frequency (0 if
+        you do not use the target network). Default to 0.
+    :param bool reward_normalization: normalize the reward to Normal(0, 1).
+        Default to False.
+
+    .. seealso::
+
+        Please refer to :class:`~tianshou.policy.C51Policy` for more detailed
+        explanation.
+    """
+
+    def learn(self, batch: Batch, **kwargs: Any) -> Dict[str, float]:
+        sample_noise(self.model)
+        if self._target and sample_noise(self.model_old):
+            self.model_old.train()  # so that NoisyLinear takes effect
+        return super().learn(batch, **kwargs)
diff --git a/tianshou/utils/net/common.py b/tianshou/utils/net/common.py
index 664b488..cb11abc 100644
--- a/tianshou/utils/net/common.py
+++ b/tianshou/utils/net/common.py
@@ -11,10 +11,11 @@ def miniblock(
     output_size: int = 0,
     norm_layer: Optional[ModuleType] = None,
     activation: Optional[ModuleType] = None,
+    linear_layer: Type[nn.Linear] = nn.Linear,
 ) -> List[nn.Module]:
     """Construct a miniblock with given input/output-size, norm layer and \
     activation."""
-    layers: List[nn.Module] = [nn.Linear(input_size, output_size)]
+    layers: List[nn.Module] = [linear_layer(input_size, output_size)]
     if norm_layer is not None:
         layers += [norm_layer(output_size)]  # type: ignore
     if activation is not None:
@@ -42,6 +43,8 @@ class MLP(nn.Module):
         the same actvition for all layers if passed in nn.Module, or different
         activation for different Modules if passed in a list. Default to
         nn.ReLU.
+    :param device: which device to create this model on. Default to None.
+    :param linear_layer: use this module as linear layer. Default to nn.Linear.
     """
 
     def __init__(
@@ -52,6 +55,7 @@ class MLP(nn.Module):
         norm_layer: Optional[Union[ModuleType, Sequence[ModuleType]]] = None,
         activation: Optional[Union[ModuleType, Sequence[ModuleType]]] = nn.ReLU,
         device: Optional[Union[str, int, torch.device]] = None,
+        linear_layer: Type[nn.Linear] = nn.Linear,
     ) -> None:
         super().__init__()
         self.device = device
@@ -78,9 +82,9 @@ class MLP(nn.Module):
         for in_dim, out_dim, norm, activ in zip(
                 hidden_sizes[:-1], hidden_sizes[1:],
                 norm_layer_list, activation_list):
-            model += miniblock(in_dim, out_dim, norm, activ)
+            model += miniblock(in_dim, out_dim, norm, activ, linear_layer)
         if output_dim > 0:
-            model += [nn.Linear(hidden_sizes[-1], output_dim)]
+            model += [linear_layer(hidden_sizes[-1], output_dim)]
         self.output_dim = output_dim or hidden_sizes[-1]
         self.model = nn.Sequential(*model)
 
@@ -168,10 +172,10 @@ class Net(nn.Module):
                 q_output_dim, v_output_dim = action_dim, num_atoms
             q_kwargs: Dict[str, Any] = {
                 **q_kwargs, "input_dim": self.output_dim,
-                "output_dim": q_output_dim}
+                "output_dim": q_output_dim, "device": self.device}
             v_kwargs: Dict[str, Any] = {
                 **v_kwargs, "input_dim": self.output_dim,
-                "output_dim": v_output_dim}
+                "output_dim": v_output_dim, "device": self.device}
             self.Q, self.V = MLP(**q_kwargs), MLP(**v_kwargs)
             self.output_dim = self.Q.output_dim
 
diff --git a/tianshou/utils/net/discrete.py b/tianshou/utils/net/discrete.py
index b104b4e..200ae9d 100644
--- a/tianshou/utils/net/discrete.py
+++ b/tianshou/utils/net/discrete.py
@@ -307,3 +307,83 @@ class FullQuantileFunction(ImplicitQuantileNetwork):
             with torch.no_grad():
                 quantiles_tau = self._compute_quantiles(logits, taus[:, 1:-1])
         return (quantiles, fractions, quantiles_tau), h
+
+
+class NoisyLinear(nn.Module):
+    """Implementation of Noisy Networks. arXiv:1706.10295.
+
+    :param int in_features: the number of input features.
+    :param int out_features: the number of output features.
+    :param float noisy_std: initial standard deviation of noisy linear layers.
+
+    .. note::
+
+        Adapted from https://github.com/ku2482/fqf-iqn-qrdqn.pytorch/blob/master
+        /fqf_iqn_qrdqn/network.py .
+    """
+
+    def __init__(
+        self, in_features: int, out_features: int, noisy_std: float = 0.5
+    ) -> None:
+        super().__init__()
+
+        # Learnable parameters.
+        self.mu_W = nn.Parameter(
+            torch.FloatTensor(out_features, in_features))
+        self.sigma_W = nn.Parameter(
+            torch.FloatTensor(out_features, in_features))
+        self.mu_bias = nn.Parameter(torch.FloatTensor(out_features))
+        self.sigma_bias = nn.Parameter(torch.FloatTensor(out_features))
+
+        # Factorized noise parameters.
+        self.register_buffer('eps_p', torch.FloatTensor(in_features))
+        self.register_buffer('eps_q', torch.FloatTensor(out_features))
+
+        self.in_features = in_features
+        self.out_features = out_features
+        self.sigma = noisy_std
+
+        self.reset()
+        self.sample()
+
+    def reset(self) -> None:
+        bound = 1 / np.sqrt(self.in_features)
+        self.mu_W.data.uniform_(-bound, bound)
+        self.mu_bias.data.uniform_(-bound, bound)
+        self.sigma_W.data.fill_(self.sigma / np.sqrt(self.in_features))
+        self.sigma_bias.data.fill_(self.sigma / np.sqrt(self.in_features))
+
+    def f(self, x: torch.Tensor) -> torch.Tensor:
+        x = torch.randn(x.size(0), device=x.device)
+        return x.sign().mul_(x.abs().sqrt_())
+
+    def sample(self) -> None:
+        self.eps_p.copy_(self.f(self.eps_p))  # type: ignore
+        self.eps_q.copy_(self.f(self.eps_q))  # type: ignore
+
+    def forward(self, x: torch.Tensor) -> torch.Tensor:
+        if self.training:
+            weight = self.mu_W + self.sigma_W * (
+                self.eps_q.ger(self.eps_p)  # type: ignore
+            )
+            bias = self.mu_bias + self.sigma_bias * self.eps_q.clone()  # type: ignore
+        else:
+            weight = self.mu_W
+            bias = self.mu_bias
+
+        return F.linear(x, weight, bias)
+
+
+def sample_noise(model: nn.Module) -> bool:
+    """Sample the random noises of NoisyLinear modules in the model.
+
+    :param model: a PyTorch module which may have NoisyLinear submodules.
+    :returns: True if model has at least one NoisyLinear submodule;
+        otherwise, False.
+    """
+    done = False
+    for m in model.modules():
+        if isinstance(m, NoisyLinear):
+            m.sample()
+            done = True
+    return done