We study off-dynamics Reinforcement Learning (RL), where the policy is trained on a source domain and deployed to a distinct target domain. We aim to solve this problem via online distributionally robust Markov decision processes (DRMDPs), where the learning algorithm actively interacts with the source domain while seeking the optimal performance under the worst possible dynamics that is within an uncertainty set of the source domain's transition kernel. We provide the first study on online DRMDPs with function approximation for off-dynamics RL. We find that DRMDPs' dual formulation can induce nonlinearity, even when the nominal transition kernel is linear, leading to error propagation. By designing a $d$-rectangular uncertainty set using the total variation distance, we remove this additional nonlinearity and bypass the error propagation. We then introduce DR-LSVI-UCB, the first provably efficient online DRMDP algorithm for off-dynamics RL with function approximation, and establish a polynomial suboptimality bound that is independent of the state and action space sizes. Our work makes the first step towards a deeper understanding of the provable efficiency of online DRMDPs with linear function approximation. Finally, we substantiate the performance and robustness of DR-LSVI-UCB through different numerical experiments.
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An optimal transport problem with storage fees
We establish basic properties of a variant of the semi-discrete optimal transport problem in a relatively general setting. In this problem, one is given an absolutely continuous source measure and cost function, along with a finite set which will be the support of the target measure, and a “storage fee” function. The goal is to find a map for which the total transport cost plus the storage fee evaluated on the masses of the pushforward of the source measure is minimized. We prove existence and uniqueness for the problem, derive a dual problem for which strong duality holds, and give a characterization of dual maximizers and primal minimizers. Additionally, we find some stability results for minimizers and a Γ-convergence result as the target set becomes denser and denser in a continuum domain.
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- PAR ID:
- 10430387
- Date Published:
- Journal Name:
- Electronic Journal of Differential Equations
- Volume:
- 2023
- Issue:
- 01-37
- ISSN:
- 1072-6691
- Page Range / eLocation ID:
- 22; 1-24
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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