提出一种无需模型的低秩强化学习算法,高效求解带低秩结构的控制问题。
Model-free Low-Rank Reinforcement Learning via Leveraged Entry-wise Matrix Estimation
- 通过分阶段采样与杠杆加权矩阵补全,实现对状态-动作价值函数的精准估计。
- 仅需约 $\widetilde{O}({S+A\over \mathrm{poly}(1-γ)\varepsilon^2})$ 次采样即可获得 $\varepsilon$-最优策略。
- 适用于状态和动作空间较大且低秩结构明显的强化学习任务,尤其适合资源受限场景。
我们研究具有低秩潜在结构的受控动态系统中学习 $\varepsilon$-最优策略的问题。为此,提出无模型算法 LoRa-PI(低秩策略迭代),其交替执行策略改进与策略评估步骤。在策略评估中,算法采用两阶段过程估计当前策略对应的状态-动作价值函数的低秩矩阵:首先随机采样矩阵元素,利用谱方法估计行与列的杠杆得分;随后根据得分选取关键行与列并进一步采样,再以类似 CUR 的方法完成矩阵补全。该杠杆矩阵估计方法具备逐项保证,其性能不依赖矩阵相干性,仅与矩阵尖锐度相关。理论分析表明,LoRa-PI 在 $\widetilde{O}({S+A\over \mathrm{poly}(1-γ)\varepsilon^2})$ 次样本下可学习到 $\varepsilon$-最优策略,达到 $S$、$A$ 与 $\varepsilon$ 的最优样本复杂度,且所需条件比先前方法更宽松。
原文摘要 · Abstract (English)
We consider the problem of learning an $\varepsilon$-optimal policy in controlled dynamical systems with low-rank latent structure. For this problem, we present LoRa-PI (Low-Rank Policy Iteration), a model-free learning algorithm alternating between policy improvement and policy evaluation steps. In the latter, the algorithm estimates the low-rank matrix corresponding to the (state, action) value function of the current policy using the following two-phase procedure. The entries of the matrix are first sampled uniformly at random to estimate, via a spectral method, the leverage scores of its rows and columns. These scores are then used to extract a few important rows and columns whose entries are further sampled. The algorithm exploits these new samples to complete the matrix estimation using a CUR-like method. For this leveraged matrix estimation procedure, we establish entry-wise guarantees that remarkably, do not depend on the coherence of the matrix but only on its spikiness. These guarantees imply that LoRa-PI learns an $\varepsilon$-optimal policy using $\widetilde{O}({S+A\over \mathrm{poly}(1-γ)\varepsilon^2})$ samples where $S$ (resp. $A$) denotes the number of states (resp. actions) and $γ$ the discount factor. Our algorithm achieves this order-optimal (in $S$, $A$ and $\varepsilon$) sample complexity under milder conditions than those assumed in previously proposed approaches.
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