在可逆马尔可夫链上,标准离策略TD(0)线性逼近能收敛到最优解。
Convergence of off-policy TD(0) with linear function approximation for reversible Markov chains
- 基于可逆链结构,分析标准离策略TD(0)算法的收敛性
- 在折扣因子有显式上界时,投影贝尔曼误差为零且几乎必然收敛
- 适用于具有领域知识可假设可逆性的强化学习场景
本文研究在马尔可夫链中使用线性函数逼近的离策略TD(0)算法在估计期望折扣奖励时的收敛性。已知离策略学习与函数逼近结合易导致算法发散,现有方法通常通过重要性采样重加权修改算法以保证收敛,但增加了复杂度。本文不修改算法,而是限定于可逆马尔可夫链这一温和条件,证明了在折扣因子受状态分布差异约束的显式上界下,算法几乎必然收敛至投影贝尔曼误差为零的解。该结果改进了文献中仅要求折扣因子极小的结论,给出了具体边界。为此,我们扩展了Tsitsiklis和Van Roy [1997] 的随机逼近框架至离策略情形,并通过一维随机游走及加权图上的随机游走实例验证了理论结果。
原文摘要 · Abstract (English)
We study the convergence of off-policy TD(0) with linear function approximation when used to approximate the expected discounted reward in a Markov chain. It is well known that the combination of off-policy learning and function approximation can lead to divergence of the algorithm. Existing results for this setting modify the algorithm, for instance by reweighing the updates using importance sampling. This establishes convergence at the expense of additional complexity. In contrast, our approach is to analyse the standard algorithm, but to restrict our attention to the class of reversible Markov chains. We demonstrate convergence under this mild reversibility condition on the structure of the chain, which in many applications can be assumed using domain knowledge. In particular, we establish a convergence guarantee under an upper bound on the discount factor in terms of the difference between the on-policy and off-policy process. This improves upon known results in the literature that state that convergence holds for a sufficiently small discount factor by establishing an explicit bound. Convergence is with probability one and achieves projected Bellman error equal to zero. To obtain these results, we adapt the stochastic approximation framework that was used by Tsitsiklis and Van Roy [1997 for the on-policy case, to the off-policy case. We illustrate our results using different types of reversible Markov chains, such as one-dimensional random walks and random walks on a weighted graph.
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