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On the Convergence and Sample Efficiency of Variance-Reduced Policy Gradient Method
Junyu Zhang · Chengzhuo Ni · zheng Yu · Csaba Szepesvari · Mengdi Wang

Wed Dec 08 04:30 PM -- 06:00 PM (PST) @
Policy gradient (PG) gives rise to a rich class of reinforcement learning (RL) methods. Recently, there has been an emerging trend to augment the existing PG methods such as REINFORCE by the \emph{variance reduction} techniques. However, all existing variance-reduced PG methods heavily rely on an uncheckable importance weight assumption made for every single iteration of the algorithms. In this paper, a simple gradient truncation mechanism is proposed to address this issue. Moreover, we design a Truncated Stochastic Incremental Variance-Reduced Policy Gradient (TSIVR-PG) method, which is able to maximize not only a cumulative sum of rewards but also a general utility function over a policy's long-term visiting distribution. We show an $\tilde{\mathcal{O}}(\epsilon^{-3})$ sample complexity for TSIVR-PG to find an $\epsilon$-stationary policy. By assuming the \emph{overparameterization} of policy and exploiting the \emph{hidden convexity} of the problem, we further show that TSIVR-PG converges to global $\epsilon$-optimal policy with $\tilde{\mathcal{O}}(\epsilon^{-2})$ samples.

Author Information

Junyu Zhang (National University of Singapore)
Chengzhuo Ni
zheng Yu (Princeton University)
Csaba Szepesvari (DeepMind / University of Alberta)
Mengdi Wang (Princeton University)

Mengdi Wang is interested in data-driven stochastic optimization and applications in machine and reinforcement learning. She received her PhD in Electrical Engineering and Computer Science from Massachusetts Institute of Technology in 2013. At MIT, Mengdi was affiliated with the Laboratory for Information and Decision Systems and was advised by Dimitri P. Bertsekas. Mengdi became an assistant professor at Princeton in 2014. She received the Young Researcher Prize in Continuous Optimization of the Mathematical Optimization Society in 2016 (awarded once every three years).

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