More Like this

1. A Lyapunov Theory for Finite-Sample Guarantees of Markovian Stochastic Approximation

   https://doi.org/10.1287/opre.2022.0249  

   Chen, Zaiwei; Maguluri, Siva T; Shakkottai, Sanjay; Shanmugam, Karthikeyan (October 2023, Operations Research)

   This paper develops a unified Lyapunov framework for finite-sample analysis of a Markovian stochastic approximation (SA) algorithm under a contraction operator with respect to an arbitrary norm. The main novelty lies in the construction of a valid Lyapunov function called the generalized Moreau envelope. The smoothness and an approximation property of the generalized Moreau envelope enable us to derive a one-step Lyapunov drift inequality, which is the key to establishing the finite-sample bounds. Our SA result has wide applications, especially in the context of reinforcement learning (RL). Specifically, we show that a large class of value-based RL algorithms can be modeled in the exact form of our Markovian SA algorithm. Therefore, our SA results immediately imply finite-sample guarantees for popular RL algorithms such as n-step temporal difference (TD) learning, TD(𝜆), off-policy V-trace, and Q-learning. As byproducts, by analyzing the convergence bounds of n-step TD and TD(𝜆), we provide theoretical insight into the problem about the efficiency of bootstrapping. Moreover, our finite-sample bounds of off-policy V-trace explicitly capture the tradeoff between the variance of the stochastic iterates and the bias in the limit. 

   more » « less
2. Temporal Difference Learning as Gradient Splitting

   Liu, Rui; Olshevsky, Alex (November 2021, International Conference on Machine Learning (ICML))

   Temporal difference learning with linear function approximation is a popular method to obtain a low-dimensional approximation of the value function of a policy in a Markov Decision Process. We give a new interpretation of this method in terms of a splitting of the gradient of an appropriately chosen function. As a consequence of this interpretation, convergence proofs for gradient descent can be applied almost verbatim to temporal difference learning. Beyond giving a new, fuller explanation of why temporal difference works, our interpretation also yields improved convergence times. We consider the setting with 1/T^{1/2} step-size, where previous comparable finite-time convergence time bounds for temporal difference learning had the multiplicative factor 1/(1-\gamma) in front of the bound, with γ being the discount factor. We show that a minor variation on TD learning which estimates the mean of the value function separately has a convergence time where 1/(1-\gamma) only multiplies an asymptotically negligible term. 

   more » « less
3. Federated Temporal Difference Learning with Linear Function Approximation Under Environmental Heterogeneity

   Wang, H.; Mitra, A.; Hassani, H; Pappas, G.; Anderson, J (February 2023, arXivorg)

   We initiate the study of federated reinforcement learning under environmental heterogeneity by considering a policy evaluation problem. Our setup involves agents interacting with environments that share the same state and action space but differ in their reward functions and state transition kernels. Assuming agents can communicate via a central server, we ask: Does exchanging information expedite the process of evaluating a common policy? To answer this question, we provide the first comprehensive finite-time analysis of a federated temporal difference (TD) learning algorithm with linear function approximation, while accounting for Markovian sampling, heterogeneity in the agents' environments, and multiple local updates to save communication. Our analysis crucially relies on several novel ingredients: (i) deriving perturbation bounds on TD fixed points as a function of the heterogeneity in the agents' underlying Markov decision processes (MDPs); (ii) introducing a virtual MDP to closely approximate the dynamics of the federated TD algorithm; and (iii) using the virtual MDP to make explicit connections to federated optimization. Putting these pieces together, we rigorously prove that in a low-heterogeneity regime, exchanging model estimates leads to linear convergence speedups in the number of agents. 

   more » « less
4. Mitigating Partial Observability in Sequential Decision Processes via the Lambda Discrepancy

   Allen, C; Kirtland, A; Tao, R; Lobel, S; Scott, D; Petrocelli, N; Gottesman, O; Parr, R; Littman, M; Konidaris, G (December 2024, Advances in Neural Information Processing Systems)

   Reinforcement learning algorithms typically rely on the assumption that the environment dynamics and value function can be expressed in terms of a Markovian state representation. However, when state information is only partially observable, how can an agent learn such a state representation, and how can it detect when it has found one? We introduce a metric that can accomplish both objectives, without requiring access to—or knowledge of—an underlying, unobservable state space. Our metric, the λ-discrepancy, is the difference between two distinct temporal difference (TD) value estimates, each computed using TD(λ) with a different value of λ. Since TD(λ=0) makes an implicit Markov assumption and TD(λ=1) does not, a discrepancy between these estimates is a potential indicator of a non-Markovian state representation. Indeed, we prove that the λ-discrepancy is exactly zero for all Markov decision processes and almost always non-zero for a broad class of partially observable environments. We also demonstrate empirically that, once detected, minimizing the λ-discrepancy can help with learning a memory function to mitigate the corresponding partial observability. We then train a reinforcement learning agent that simultaneously constructs two recurrent value networks with different λ parameters and minimizes the difference between them as an auxiliary loss. The approach scales to challenging partially observable domains, where the resulting agent frequently performs significantly better (and never performs worse) than a baseline recurrent agent with only a single value network. 

   more » « less
5. Federated Reinforcement Learning: Linear Speedup Under Markovian Sampling

   Khodadadian, Sajad; Sharma, Pranay; Joshi, Gauri; Maguluri, Siva Theja (January 2022, International Conference on Machine Learning)

   Since reinforcement learning algorithms are notoriously data-intensive, the task of sampling observations from the environment is usually split across multiple agents. However, transferring these observations from the agents to a central location can be prohibitively expensive in terms of the communication cost, and it can also compromise the privacy of each agent’s local behavior policy. In this paper, we consider a federated reinforcement learning framework where multiple agents collaboratively learn a global model, without sharing their individual data and policies. Each agent maintains a local copy of the model and updates it using locally sampled data. Although having N agents enables the sampling of N times more data, it is not clear if it leads to proportional convergence speedup. We propose federated versions of on-policy TD, off-policy TD and Q-learning, and analyze their convergence. For all these algorithms, to the best of our knowledge, we are the first to consider Markovian noise and multiple local updates, and prove a linear convergence speedup with respect to the number of agents. To obtain these results, we show that federated TD and Q-learning are special cases of a general framework for federated stochastic approximation with Markovian noise, and we leverage this framework to provide a unified convergence analysis that applies to all the algorithms. 

   more » « less