diff --git a/.gitignore b/.gitignore
index 604f2dfc1..082dcef12 100644
--- a/.gitignore
+++ b/.gitignore
@@ -144,3 +144,4 @@ MUJOCO_LOG.TXT
 .DS_Store
 *.zip
 *.pstats
+*.swp
diff --git a/docs/bibtex.json b/docs/bibtex.json
new file mode 100644
index 000000000..685d5db67
--- /dev/null
+++ b/docs/bibtex.json
@@ -0,0 +1,9 @@
+{
+    "cited": {
+        "tutorials/dqn": [
+            "DQN",
+            "DDPG",
+            "PPO"
+        ]
+    }
+}
\ No newline at end of file
diff --git a/docs/conf.py b/docs/conf.py
index 2169ab8ec..f7bcc562d 100644
--- a/docs/conf.py
+++ b/docs/conf.py
@@ -70,6 +70,7 @@
         ]
     )
 }
+bibtex_bibfiles = ['refs.bib']
 
 # -- Options for HTML output -------------------------------------------------
 
diff --git a/setup.py b/setup.py
index a7410ce8c..5af0b206f 100644
--- a/setup.py
+++ b/setup.py
@@ -47,10 +47,11 @@ def get_version() -> str:
     install_requires=[
         "gym>=0.15.4",
         "tqdm",
-        "numpy",
+        "numpy!=1.16.0",  # https://github.com/numpy/numpy/issues/12793
         "tensorboard",
         "torch>=1.4.0",
         "numba>=0.51.0",
+        "h5py>=3.1.0"
     ],
     extras_require={
         "dev": [
diff --git a/test/base/test_buffer.py b/test/base/test_buffer.py
index d8c46dd77..1695195b4 100644
--- a/test/base/test_buffer.py
+++ b/test/base/test_buffer.py
@@ -1,11 +1,15 @@
+import os
 import torch
 import pickle
 import pytest
+import tempfile
+import h5py
 import numpy as np
 from timeit import timeit
 
 from tianshou.data import Batch, SegmentTree, \
     ReplayBuffer, ListReplayBuffer, PrioritizedReplayBuffer
+from tianshou.data.utils.converter import to_hdf5
 
 if __name__ == '__main__':
     from env import MyTestEnv
@@ -278,7 +282,73 @@ def test_pickle():
                        pbuf.weight[np.arange(len(pbuf))])
 
 
+def test_hdf5():
+    size = 100
+    buffers = {
+        "array": ReplayBuffer(size, stack_num=2),
+        "list": ListReplayBuffer(),
+        "prioritized": PrioritizedReplayBuffer(size, 0.6, 0.4)
+    }
+    buffer_types = {k: b.__class__ for k, b in buffers.items()}
+    device = 'cuda' if torch.cuda.is_available() else 'cpu'
+    rew = torch.tensor([1.]).to(device)
+    for i in range(4):
+        kwargs = {
+            'obs': Batch(index=np.array([i])),
+            'act': i,
+            'rew': rew,
+            'done': 0,
+            'info': {"number": {"n": i}, 'extra': None},
+        }
+        buffers["array"].add(**kwargs)
+        buffers["list"].add(**kwargs)
+        buffers["prioritized"].add(weight=np.random.rand(), **kwargs)
+
+    # save
+    paths = {}
+    for k, buf in buffers.items():
+        f, path = tempfile.mkstemp(suffix='.hdf5')
+        os.close(f)
+        buf.save_hdf5(path)
+        paths[k] = path
+
+    # load replay buffer
+    _buffers = {k: buffer_types[k].load_hdf5(paths[k]) for k in paths.keys()}
+
+    # compare
+    for k in buffers.keys():
+        assert len(_buffers[k]) == len(buffers[k])
+        assert np.allclose(_buffers[k].act, buffers[k].act)
+        assert _buffers[k].stack_num == buffers[k].stack_num
+        assert _buffers[k]._maxsize == buffers[k]._maxsize
+        assert _buffers[k]._index == buffers[k]._index
+        assert np.all(_buffers[k]._indices == buffers[k]._indices)
+    for k in ["array", "prioritized"]:
+        assert isinstance(buffers[k].get(0, "info"), Batch)
+        assert isinstance(_buffers[k].get(0, "info"), Batch)
+    for k in ["array"]:
+        assert np.all(
+            buffers[k][:].info.number.n == _buffers[k][:].info.number.n)
+        assert np.all(
+            buffers[k][:].info.extra == _buffers[k][:].info.extra)
+
+    for path in paths.values():
+        os.remove(path)
+
+    # raise exception when value cannot be pickled
+    data = {"not_supported": lambda x: x*x}
+    grp = h5py.Group
+    with pytest.raises(NotImplementedError):
+        to_hdf5(data, grp)
+    # ndarray with data type not supported by HDF5 that cannot be pickled
+    data = {"not_supported": np.array(lambda x: x*x)}
+    grp = h5py.Group
+    with pytest.raises(RuntimeError):
+        to_hdf5(data, grp)
+
+
 if __name__ == '__main__':
+    test_hdf5()
     test_replaybuffer()
     test_ignore_obs_next()
     test_stack()
diff --git a/tianshou/data/buffer.py b/tianshou/data/buffer.py
index c8c572a22..74299df9d 100644
--- a/tianshou/data/buffer.py
+++ b/tianshou/data/buffer.py
@@ -1,10 +1,12 @@
+import h5py
 import torch
 import numpy as np
 from numbers import Number
 from typing import Any, Dict, List, Tuple, Union, Optional
 
-from tianshou.data import Batch, SegmentTree, to_numpy
 from tianshou.data.batch import _create_value
+from tianshou.data import Batch, SegmentTree, to_numpy
+from tianshou.data.utils.converter import to_hdf5, from_hdf5
 
 
 class ReplayBuffer:
@@ -38,7 +40,10 @@ class ReplayBuffer:
         >>> # but there are only three valid items, so len(buf) == 3.
         >>> len(buf)
         3
-        >>> pickle.dump(buf, open('buf.pkl', 'wb'))  # save to file "buf.pkl"
+        >>> # save to file "buf.pkl"
+        >>> pickle.dump(buf, open('buf.pkl', 'wb'))
+        >>> # save to HDF5 file
+        >>> buf.save_hdf5('buf.hdf5')
         >>> buf2 = ReplayBuffer(size=10)
         >>> for i in range(15):
         ...     buf2.add(obs=i, act=i, rew=i, done=i, obs_next=i + 1, info={})
@@ -54,7 +59,7 @@ class ReplayBuffer:
                 0.,  0.,  0.,  0.,  0.,  0.,  0.])
 
         >>> # get a random sample from buffer
-        >>> # the batch_data is equal to buf[incide].
+        >>> # the batch_data is equal to buf[indice].
         >>> batch_data, indice = buf.sample(batch_size=4)
         >>> batch_data.obs == buf[indice].obs
         array([ True,  True,  True,  True])
@@ -63,6 +68,15 @@ class ReplayBuffer:
         >>> buf = pickle.load(open('buf.pkl', 'rb'))  # load from "buf.pkl"
         >>> len(buf)
         3
+        >>> # load complete buffer from HDF5 file
+        >>> buf = ReplayBuffer.load_hdf5('buf.hdf5')
+        >>> len(buf)
+        3
+        >>> # load contents of HDF5 file into existing buffer
+        >>> # (only possible if size of buffer and data in file match)
+        >>> buf.load_contents_hdf5('buf.hdf5')
+        >>> len(buf)
+        3
 
     :class:`~tianshou.data.ReplayBuffer` also supports frame_stack sampling
     (typically for RNN usage, see issue#19), ignoring storing the next
@@ -167,8 +181,14 @@ def __setstate__(self, state: Dict[str, Any]) -> None:
         We need it because pickling buffer does not work out-of-the-box
         ("buffer.__getattr__" is customized).
         """
+        self._indices = np.arange(state["_maxsize"])
         self.__dict__.update(state)
 
+    def __getstate__(self) -> dict:
+        exclude = {"_indices"}
+        state = {k: v for k, v in self.__dict__.items() if k not in exclude}
+        return state
+
     def _add_to_buffer(self, name: str, inst: Any) -> None:
         try:
             value = self._meta.__dict__[name]
@@ -359,6 +379,21 @@ def __getitem__(
             policy=self.get(index, "policy"),
         )
 
+    def save_hdf5(self, path: str) -> None:
+        """Save replay buffer to HDF5 file."""
+        with h5py.File(path, "w") as f:
+            to_hdf5(self.__getstate__(), f)
+
+    @classmethod
+    def load_hdf5(
+        cls, path: str, device: Optional[str] = None
+    ) -> "ReplayBuffer":
+        """Load replay buffer from HDF5 file."""
+        with h5py.File(path, "r") as f:
+            buf = cls.__new__(cls)
+            buf.__setstate__(from_hdf5(f, device=device))
+        return buf
+
 
 class ListReplayBuffer(ReplayBuffer):
     """List-based replay buffer.
diff --git a/tianshou/data/utils/converter.py b/tianshou/data/utils/converter.py
index a8e884508..52b0744cf 100644
--- a/tianshou/data/utils/converter.py
+++ b/tianshou/data/utils/converter.py
@@ -1,8 +1,10 @@
+import h5py
 import torch
+import pickle
 import numpy as np
 from copy import deepcopy
 from numbers import Number
-from typing import Union, Optional
+from typing import Dict, Union, Optional
 
 from tianshou.data.batch import _parse_value, Batch
 
@@ -80,3 +82,90 @@ def to_torch_as(
     """
     assert isinstance(y, torch.Tensor)
     return to_torch(x, dtype=y.dtype, device=y.device)
+
+
+# Note: object is used as a proxy for objects that can be pickled
+# Note: mypy does not support cyclic definition currently
+Hdf5ConvertibleValues = Union[  # type: ignore
+    int, float, Batch, np.ndarray, torch.Tensor, object,
+    'Hdf5ConvertibleType',  # type: ignore
+]
+
+Hdf5ConvertibleType = Dict[str, Hdf5ConvertibleValues]  # type: ignore
+
+
+def to_hdf5(x: Hdf5ConvertibleType, y: h5py.Group) -> None:
+    """Copy object into HDF5 group."""
+
+    def to_hdf5_via_pickle(x: object, y: h5py.Group, key: str) -> None:
+        """Pickle, convert to numpy array and write to HDF5 dataset."""
+        data = np.frombuffer(pickle.dumps(x), dtype=np.byte)
+        y.create_dataset(key, data=data)
+
+    for k, v in x.items():
+        if isinstance(v, (Batch, dict)):
+            # dicts and batches are both represented by groups
+            subgrp = y.create_group(k)
+            if isinstance(v, Batch):
+                subgrp_data = v.__getstate__()
+                subgrp.attrs["__data_type__"] = "Batch"
+            else:
+                subgrp_data = v
+            to_hdf5(subgrp_data, subgrp)
+        elif isinstance(v, torch.Tensor):
+            # PyTorch tensors are written to datasets
+            y.create_dataset(k, data=to_numpy(v))
+            y[k].attrs["__data_type__"] = "Tensor"
+        elif isinstance(v, np.ndarray):
+            try:
+                # NumPy arrays are written to datasets
+                y.create_dataset(k, data=v)
+                y[k].attrs["__data_type__"] = "ndarray"
+            except TypeError:
+                # If data type is not supported by HDF5 fall back to pickle.
+                # This happens if dtype=object (e.g. due to entries being None)
+                # and possibly in other cases like structured arrays.
+                try:
+                    to_hdf5_via_pickle(v, y, k)
+                except Exception as e:
+                    raise RuntimeError(
+                        f"Attempted to pickle {v.__class__.__name__} due to "
+                        "data type not supported by HDF5 and failed."
+                    ) from e
+                y[k].attrs["__data_type__"] = "pickled_ndarray"
+        elif isinstance(v, (int, float)):
+            # ints and floats are stored as attributes of groups
+            y.attrs[k] = v
+        else:  # resort to pickle for any other type of object
+            try:
+                to_hdf5_via_pickle(v, y, k)
+            except Exception as e:
+                raise NotImplementedError(
+                    f"No conversion to HDF5 for object of type '{type(v)}' "
+                    "implemented and fallback to pickle failed."
+                ) from e
+            y[k].attrs["__data_type__"] = v.__class__.__name__
+
+
+def from_hdf5(
+    x: h5py.Group, device: Optional[str] = None
+) -> Hdf5ConvertibleType:
+    """Restore object from HDF5 group."""
+    if isinstance(x, h5py.Dataset):
+        # handle datasets
+        if x.attrs["__data_type__"] == "ndarray":
+            y = np.array(x)
+        elif x.attrs["__data_type__"] == "Tensor":
+            y = torch.tensor(x, device=device)
+        else:
+            y = pickle.loads(x[()])
+    else:
+        # handle groups representing a dict or a Batch
+        y = {k: v for k, v in x.attrs.items() if k != "__data_type__"}
+        for k, v in x.items():
+            y[k] = from_hdf5(v, device)
+        if "__data_type__" in x.attrs:
+            # if dictionary represents Batch, convert to Batch
+            if x.attrs["__data_type__"] == "Batch":
+                y = Batch(y)
+    return y