用强化学习统一求解组合优化问题,给出理论保证和实用指导。
Heuristics for Combinatorial Optimization via Value-based Reinforcement Learning: A Unified Framework and Analysis
- 将组合优化建模为马尔可夫决策过程,用价值函数方法求解。
- 证明了批量大小与梯度步数增长速度决定解的近似精度。
- 揭示了状态编码选择对算法效果的关键影响,适合研究者参考。
自1990年代以来,大量实证工作尝试训练神经网络等统计模型作为组合优化(CO)问题的可学习启发式算法。成功时,可避免专家针对每类问题设计启发式规则。由于许多困难的CO问题具有特定结构,使其适合用强化学习(RL)处理。现有文献广泛采用基于值函数、策略梯度或演员-评论家的方法训练神经网络,在求解质量与推理速度方面均取得良好效果。然而,针对该范式的理论研究仍显不足。本文提出一个统一框架,将CO问题建模为马尔可夫决策过程(MDP),并使用RL技术求解。我们给出了易于验证的假设条件,使得原问题可转化为等价的无折扣MDP,并能获得最优解。此外,建立了价值型RL收敛到近似解的条件:(1)每轮迭代中批量大小和投影梯度下降步数需以足够速率增长;(2)优化间隙与问题参数及目标RL精度相关;(3)状态空间嵌入的选择至关重要。本分析揭示了深度Q学习在该场景下的成功与局限。
原文摘要 · Abstract (English)
Since the 1990s, considerable empirical work has been carried out to train statistical models, such as neural networks (NNs), as learned heuristics for combinatorial optimization (CO) problems. When successful, such an approach eliminates the need for experts to design heuristics per problem type. Due to their structure, many hard CO problems are amenable to treatment through reinforcement learning (RL). Indeed, we find a wealth of literature training NNs using value-based, policy gradient, or actor-critic approaches, with promising results, both in terms of empirical optimality gaps and inference runtimes. Nevertheless, there has been a paucity of theoretical work undergirding the use of RL for CO problems. To this end, we introduce a unified framework to model CO problems through Markov decision processes (MDPs) and solve them using RL techniques. We provide easy-to-test assumptions under which CO problems can be formulated as equivalent undiscounted MDPs that provide optimal solutions to the original CO problems. Moreover, we establish conditions under which value-based RL techniques converge to approximate solutions of the CO problem with a guarantee on the associated optimality gap. Our convergence analysis provides: (1) a sufficient rate of increase in batch size and projected gradient descent steps at each RL iteration; (2) the resulting optimality gap in terms of problem parameters and targeted RL accuracy; and (3) the importance of a choice of state-space embedding. Together, our analysis illuminates the success (and limitations) of the celebrated deep Q-learning algorithm in this problem context.
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