Structural Estimation of Markov Decision Processes in High-Dimensional State Space with Finite-Time Guarantees
This work addresses the problem of efficient and accurate reward estimation in high-dimensional inverse reinforcement learning for researchers and practitioners in robotics and AI, representing an incremental improvement over prior methods.
The paper tackles the computational challenge of estimating structural models in Markov Decision Processes with high-dimensional state spaces, proposing a single-loop algorithm that converges with finite-time guarantees and achieves superior performance in robotics control tasks compared to existing benchmarks.
We consider the task of estimating a structural model of dynamic decisions by a human agent based upon the observable history of implemented actions and visited states. This problem has an inherent nested structure: in the inner problem, an optimal policy for a given reward function is identified while in the outer problem, a measure of fit is maximized. Several approaches have been proposed to alleviate the computational burden of this nested-loop structure, but these methods still suffer from high complexity when the state space is either discrete with large cardinality or continuous in high dimensions. Other approaches in the inverse reinforcement learning (IRL) literature emphasize policy estimation at the expense of reduced reward estimation accuracy. In this paper we propose a single-loop estimation algorithm with finite time guarantees that is equipped to deal with high-dimensional state spaces without compromising reward estimation accuracy. In the proposed algorithm, each policy improvement step is followed by a stochastic gradient step for likelihood maximization. We show that the proposed algorithm converges to a stationary solution with a finite-time guarantee. Further, if the reward is parameterized linearly, we show that the algorithm approximates the maximum likelihood estimator sublinearly. Finally, by using robotics control problems in MuJoCo and their transfer settings, we show that the proposed algorithm achieves superior performance compared with other IRL and imitation learning benchmarks.