Related papers: Momentum-Based Policy Gradient Methods
Policy gradient (PG) gives rise to a rich class of reinforcement learning (RL) methods. Recently, there has been an emerging trend to accelerate the existing PG methods such as REINFORCE by the \emph{variance reduction} techniques. However,…
We combine two advanced ideas widely used in optimization for machine learning: shuffling strategy and momentum technique to develop a novel shuffling gradient-based method with momentum, coined Shuffling Momentum Gradient (SMG), for…
Model-based reinforcement learning approaches carry the promise of being data efficient. However, due to challenges in learning dynamics models that sufficiently match the real-world dynamics, they struggle to achieve the same asymptotic…
In this paper we consider the problem of learning an $\epsilon$-optimal policy for a discounted Markov Decision Process (MDP). Given an MDP with $S$ states, $A$ actions, the discount factor $\gamma \in (0,1)$, and an approximation threshold…
Model predictive control (MPC) is widely used in process control due to its interpretability and ability to handle constraints. As a parametric policy in reinforcement learning (RL), MPC offers strong initial performance and low data…
In this paper, we propose World Model Policy Gradient (WMPG), an approach to reduce the variance of policy gradient estimates using learned world models (WM's). In WMPG, a WM is trained online and used to imagine trajectories. The imagined…
Policy gradient methods are powerful reinforcement learning algorithms and have been demonstrated to solve many complex tasks. However, these methods are also data-inefficient, afflicted with high variance gradient estimates, and frequently…
Policy gradient methods have enjoyed great success in deep reinforcement learning but suffer from high variance of gradient estimates. The high variance problem is particularly exasperated in problems with long horizons or high-dimensional…
Sample inefficiency is a long-lasting problem in reinforcement learning (RL). The state-of-the-art estimates the optimal action values while it usually involves an extensive search over the state-action space and unstable optimization.…
This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods…
Despite the increasing popularity of policy gradient methods, they are yet to be widely utilized in sample-scarce applications, such as robotics. The sample efficiency could be improved by making best usage of available information. As a…
We propose a novel hybrid stochastic policy gradient estimator by combining an unbiased policy gradient estimator, the REINFORCE estimator, with another biased one, an adapted SARAH estimator for policy optimization. The hybrid policy…
Policy gradient methods are reinforcement learning algorithms that adapt a parameterized policy by following a performance gradient estimate. Conventional policy gradient methods use Monte-Carlo techniques to estimate the gradient, which…
Policy gradient (PG) methods are a class of effective reinforcement learning algorithms, particularly when dealing with continuous control problems. They rely on fresh on-policy data, making them sample-inefficient and requiring…
We develop a new algorithm for non-convex stochastic optimization that finds an $\epsilon$-critical point in the optimal $O(\epsilon^{-3})$ stochastic gradient and Hessian-vector product computations. Our algorithm uses Hessian-vector…
We explore efficient estimation of statistical quantities, particularly rare event probabilities, for stochastic reaction networks. Consequently, we propose an importance sampling (IS) approach to improve the Monte Carlo (MC) estimator…
Policy-based methods have achieved remarkable success in solving challenging reinforcement learning problems. Among these methods, off-policy policy gradient methods are particularly important due to that they can benefit from off-policy…
This paper studies a policy optimization problem arising from collaborative multi-agent reinforcement learning in a decentralized setting where agents communicate with their neighbors over an undirected graph to maximize the sum of their…
Improving sample efficiency has been a longstanding goal in reinforcement learning. This paper proposes $\mathtt{VRMPO}$ algorithm: a sample efficient policy gradient method with stochastic mirror descent. In $\mathtt{VRMPO}$, a novel…
We develop Policy Gradient with Second-Order Momentum (PG-SOM), a lightweight second-order optimisation scheme for reinforcement-learning policies. PG-SOM augments the classical REINFORCE update with two exponentially weighted statistics: a…