On the Convergence Rates of Policy Gradient Methods
Abstract
We consider infinite-horizon discounted Markov decision problems with finite state and action spaces and study the convergence rates of the projected policy gradient method and a general class of policy mirror descent methods, all with direct parametrization in the policy space. First, we develop a theory of weak gradient-mapping dominance and use it to prove sharper sublinear convergence rate of the projected policy gradient method. Then we show that with geometrically increasing step sizes, a general class of policy mirror descent methods, including the natural policy gradient method and a projected Q-descent method, all enjoy a linear rate of convergence without relying on entropy or other strongly convex regularization. Finally, we also analyze the convergence rate of an inexact policy mirror descent method and estimate its sample complexity under a simple generative model.
Cite
@article{arxiv.2201.07443,
title = {On the Convergence Rates of Policy Gradient Methods},
author = {Lin Xiao},
journal= {arXiv preprint arXiv:2201.07443},
year = {2022}
}
Comments
This version removed a mistake and related comments in the previous version of the paper. Specifically, Theorem 1 of the previous version (arXiv:2201.07443v1) state that weighted value function is both quasi-concave and quasi-convex, which is wrong. Fortunately this mistake does not affect rest of the results that are contained in this version