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See JuliaReinforcementLearning/ReinforcementLearning.jl#251
Tested this with the following script
which returned a 2x1 matrix, so it seems like now you can do it at least.
It does not handle single dimensional cases in a way that it returns a scalar anymore, which means it is a breaking change, but I feel like it is not worth keeping that special case up so for now I left it out. If you want to have it I can add it.