R. Srikant

Yashaswini Murthy, Mehrdad Moharrami, R. Srikant

Many policy-based reinforcement learning (RL) algorithms can be viewed as instantiations of approximate policy iteration (PI), i.e., where policy improvement and policy evaluation are both performed approximately. In applications where the average reward objective is the meaningful performance metric, discounted reward formulations are often used with the discount factor being close to $1,$ which is equivalent to making the expected horizon very large. However, the corresponding theoretical bounds for error performance scale with the square of the horizon. Thus, even after dividing the total reward by the length of the horizon, the corresponding performance bounds for average reward problems go to infinity. Therefore, an open problem has been to obtain meaningful performance bounds for approximate PI and RL algorithms for the average-reward setting. In this paper, we solve this open problem by obtaining the first finite-time error bounds for average-reward MDPs, and show that the asymptotic error goes to zero in the limit as policy evaluation and policy improvement errors go to zero.

Yashaswini Murthy, Mehrdad Moharrami, R. Srikant

Modified policy iteration (MPI) is a dynamic programming algorithm that combines elements of policy iteration and value iteration. The convergence of MPI has been well studied in the context of discounted and average-cost MDPs. In this work, we consider the exponential cost risk-sensitive MDP formulation, which is known to provide some robustness to model parameters. Although policy iteration and value iteration have been well studied in the context of risk sensitive MDPs, MPI is unexplored. We provide the first proof that MPI also converges for the risk-sensitive problem in the case of finite state and action spaces. Since the exponential cost formulation deals with the multiplicative Bellman equation, our main contribution is a convergence proof which is quite different than existing results for discounted and risk-neutral average-cost problems as well as risk sensitive value and policy iteration approaches. We conclude our analysis with simulation results, assessing MPI's performance relative to alternative dynamic programming methods like value iteration and policy iteration across diverse problem parameters. Our findings highlight risk-sensitive MPI's enhanced computational efficiency compared to both value and policy iteration techniques.

Navdeep Kumar, Yashaswini Murthy, Itai Shufaro et al.

We present the first finite time global convergence analysis of policy gradient in the context of infinite horizon average reward Markov decision processes (MDPs). Specifically, we focus on ergodic tabular MDPs with finite state and action spaces. Our analysis shows that the policy gradient iterates converge to the optimal policy at a sublinear rate of $O\left({\frac{1}{T}}\right),$ which translates to $O\left({\log(T)}\right)$ regret, where $T$ represents the number of iterations. Prior work on performance bounds for discounted reward MDPs cannot be extended to average reward MDPs because the bounds grow proportional to the fifth power of the effective horizon. Thus, our primary contribution is in proving that the policy gradient algorithm converges for average-reward MDPs and in obtaining finite-time performance guarantees. In contrast to the existing discounted reward performance bounds, our performance bounds have an explicit dependence on constants that capture the complexity of the underlying MDP. Motivated by this observation, we reexamine and improve the existing performance bounds for discounted reward MDPs. We also present simulations to empirically evaluate the performance of average reward policy gradient algorithm.

Seo Taek Kong, Sihan Zeng, Thinh T. Doan et al.

We consider linear two-time-scale stochastic approximation algorithms driven by martingale noise. Recent applications in machine learning motivate the need to understand finite-time error rates, but conventional stochastic approximation analysis focus on either asymptotic convergence in distribution or finite-time bounds that are far from optimal. Prior work on asymptotic central limit theorems (CLTs) suggest that two-time-scale algorithms may be able to achieve $1/\sqrt{n}$ error in expectation, with a constant given by the expected norm of the limiting Gaussian vector. However, the best known finite-time rates are much slower. We derive the first non-asymptotic central limit theorem with respect to the Wasserstein-1 distance for two-time-scale stochastic approximation with Polyak-Ruppert averaging. As a corollary, we show that expected error achieved by Polyak-Ruppert averaging decays at rate $1/\sqrt{n}$, which significantly improves on the rates of convergence in prior works.

Saptarshi Mandal, Yashaswini Murthy, R. Srikant

Distributionally robust reinforcement learning (DRRL) focuses on designing policies that achieve good performance under model uncertainties. In particular, we are interested in maximizing the worst-case long-term discounted reward, where the data for RL comes from a nominal model while the deployed environment can deviate from the nominal model within a prescribed uncertainty set. Existing convergence guarantees for robust temporal-difference (TD) learning for policy evaluation are limited to tabular MDPs or are dependent on restrictive discount-factor assumptions when function approximation is used. We present the first robust TD learning with linear function approximation, where robustness is measured with respect to the total-variation distance and Wasserstein-l distance uncertainty set. Additionally, our algorithm is both model-free and does not require generative access to the MDP. Our algorithm combines a two-time-scale stochastic-approximation update with an outer-loop target-network update. We establish an $\tilde{O}(1/ε^2)$ sample complexity to obtain an $ε$-accurate value estimate. Our results close a key gap between the empirical success of robust RL algorithms and the non-asymptotic guarantees enjoyed by their non-robust counterparts. The key ideas in the paper also extend in a relatively straightforward fashion to robust Q-learning with function approximation.