Misdosing medications with sensitive therapeutic windows, such as heparin, can place patients at unnecessary risk, increase length of hospital stay, and lead to wasted hospital resources. In this work, we present a clinician-in-the-loop sequential decision making framework, which provides an individualized dosing policy adapted to each patient's evolving clinical phenotype. We employed retrospective data from the publicly available MIMIC II intensive care unit database, and developed a deep reinforcement learning algorithm that learns an optimal heparin dosing policy from sample dosing trails and their associated outcomes in large electronic medical records. Using separate training and testing datasets, our model was observed to be effective in proposing heparin doses that resulted in better expected outcomes than the clinical guidelines. Our results demonstrate that a sequential modeling approach, learned from retrospective data, could potentially be used at the bedside to derive individualized patient dosing policies.