Abstract: Deep Reinforcement Learning (RL) is well known for being highly sensitive to hyperparameters, requiring practitioners substantial efforts to optimize them for the problem at hand. In recent years, the field of automated Reinforcement Learning (AutoRL) has grown in popularity by trying to address this issue. However, these approaches typically hinge on additional samples to select well-performing hyperparameters, hindering sample-efficiency and practicality in RL. Furthermore, most AutoRL methods are heavily based on already existing AutoML methods, which were originally developed neglecting the additional challenges inherent to RL due to its non-stationarities. In this work, we propose a new approach for AutoRL, called Adaptive $Q$-Network (AdaQN), that is tailored to RL to take into account the non-stationarity of the optimization procedure without requiring additional samples. AdaQN learns several $Q$-functions, each one trained with different hyperparameters, which are updated online using the $Q$-function with the smallest approximation error as a shared target. Our selection scheme simultaneously handles different hyperparameters while coping with the non-stationarity induced by the RL optimization procedure and being orthogonal to any critic-based RL algorithm. We demonstrate that AdaQN is theoretically sound and empirically validate it in MuJoCo control problems, showing benefits in sample-efficiency, overall performance, training stability, and robustness to stochasticity.