In this paper we introduce RL-CD, a method for solving reinforcement learning problems in non-stationary environments. The method is based on a mechanism for creating, updating and selecting one among several partial models of the environment. The partial models are incrementally built according to the system's capability of making predictions regarding a given sequence of observations. We propose, formalize and show the efficiency of this method both in a simple non-stationary environment and in a noisy scenario. We show that RL-CD performs better than two standard reinforcement learning algorithms and that it has advantages over methods specifically designed to cope with non-stationarity. Finally, we present known limitations of the method and future works.