Reconfigurable intelligent surface (RIS) has gained wide attention recently as a promising solution to address the blockage issue in millimeter wave (mmWave) communication networks. In this paper, we consider a RIS-assisted mmWave communication system consisting of multiple RISs and users. A novel integrated scheme based on deep reinforcement learning (DRL) is proposed to jointly optimize the hybrid beamforming, phase shifts, and power allocation. Specifically, we design a multi-variable action output to achieve integrated optimization in both beam and power domains. We also design a weighted sum reward to balance the influence of beam and power domain optimizing variables in the training process. Experimental results demonstrate that the proposed DRL-based method can achieve at least 37% higher sum rates than the baseline algorithm.