提出连续时间强化学习的确定性策略梯度方法,提升训练稳定性和速度。
Deterministic Policy Gradient for Reinforcement Learning with Continuous Time and State
- 基于优势率函数推导出连续时间确定性策略梯度公式
- 相比随机策略方法,收敛更快且稳定性显著提升
- 适合需要高精度连续控制的机器人、金融等场景
连续时间强化学习理论近年发展迅速。尽管强化学习的最终目标通常是学习确定性控制策略,但现有连续时间方法多依赖随机策略,需高频采样动作并计算连续动作空间上的期望,导致梯度估计方差大、收敛慢。本文提出并发展了连续时间确定性策略梯度(DPG)方法,推导出以优势率函数期望梯度表示的连续时间策略梯度公式,并建立了价值函数与优势率的鞅表征。这些理论结果为连续时间强化学习提供了可计算的确定性策略梯度估计器。在此基础上,我们提出一种无模型的连续时间深度确定性策略梯度(CT-DDPG)算法,可在连续时间与状态空间中实现通用强化学习任务的稳定学习。数值实验表明,无论在不同时间离散化或噪声水平下,CT-DDPG均显著优于现有随机策略方法,在稳定性和收敛速度上表现更优。
原文摘要 · Abstract (English)
The theory of continuous-time reinforcement learning (RL) has progressed rapidly in recent years. While the ultimate objective of RL is typically to learn deterministic control policies, most existing continuous-time RL methods rely on stochastic policies. Such approaches often require sampling actions at very high frequencies, and involve computationally expensive expectations over continuous action spaces, resulting in high-variance gradient estimates and slow convergence. In this paper, we introduce and develop deterministic policy gradient (DPG) methods for continuous-time RL. We derive a continuous-time policy gradient formula expressed as the expected gradient of an advantage rate function and establish a martingale characterization for both the value function and the advantage rate. These theoretical results provide tractable estimators for deterministic policy gradients in continuous-time RL. Building on this foundation, we propose a model-free continuous-time Deep Deterministic Policy Gradient (CT-DDPG) algorithm that enables stable learning for general reinforcement learning problems with continuous time-and-state. Numerical experiments show that CT-DDPG achieves superior stability and faster convergence compared to existing stochastic-policy methods, across a wide range of learning tasks with varying time discretizations and noise levels.
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