Jia Wan

Jia Wan, Sean R. Sinclair, Devavrat Shah et al.

We study Exo-MDPs, a structured class of Markov Decision Processes (MDPs) where the state space is partitioned into exogenous and endogenous components. Exogenous states evolve stochastically, independent of the agent's actions, while endogenous states evolve deterministically based on both state components and actions. Exo-MDPs are useful for applications including inventory control, portfolio management, and ride-sharing. Our first result is structural, establishing a representational equivalence between the classes of discrete MDPs, Exo-MDPs, and discrete linear mixture MDPs. Specifically, any discrete MDP can be represented as an Exo-MDP, and the transition and reward dynamics can be written as linear functions of the exogenous state distribution, showing that Exo-MDPs are instances of linear mixture MDPs. For unobserved exogenous states, we prove a regret upper bound of $O(H^{3/2}d\sqrt{K})$ over $K$ trajectories of horizon $H$, with $d$ as the size of the exogenous state space, and establish nearly-matching lower bounds. Our findings demonstrate how Exo-MDPs decouple sample complexity from action and endogenous state sizes, and we validate our theoretical insights with experiments on inventory control.

Ziquan Liu, Yufei Cui, Jia Wan et al.

Weight decay is often used to ensure good generalization in the training practice of deep neural networks with batch normalization (BN-DNNs), where some convolution layers are invariant to weight rescaling due to the normalization. In this paper, we demonstrate that the practical usage of weight decay still has some unsolved problems in spite of existing theoretical work on explaining the effect of weight decay in BN-DNNs. On the one hand, when the non-adaptive learning rate e.g. SGD with momentum is used, the effective learning rate continues to increase even after the initial training stage, which leads to an overfitting effect in many neural architectures. On the other hand, in both SGDM and adaptive learning rate optimizers e.g. Adam, the effect of weight decay on generalization is quite sensitive to the hyperparameter. Thus, finding an optimal weight decay parameter requires extensive parameter searching. To address those weaknesses, we propose to regularize the weight norm using a simple yet effective weight rescaling (WRS) scheme as an alternative to weight decay. WRS controls the weight norm by explicitly rescaling it to the unit norm, which prevents a large increase to the gradient but also ensures a sufficiently large effective learning rate to improve generalization. On a variety of computer vision applications including image classification, object detection, semantic segmentation and crowd counting, we show the effectiveness and robustness of WRS compared with weight decay, implicit weight rescaling (weight standardization) and gradient projection (AdamP).