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Abstract - Fast and Robust Convergence Rate for TD(0) with Linear Function Approximation, Universal Learning Steps and I.I.D. Samples
In this paper, we study the finite-time behavior of the TD(0) temporal-difference method with linear function approximation (LFA). We consider on-policy independent and identically distributed (i.i.d.) samples, a constant learning step, and the Polyak-Juditsky averaging method. We establish a new convergence rate, for the Mean-Square Error (MSE) on the approximated function, that is (i) fast in the sense that it admits an optimal dependency in the number of iterations k (i.e., of order 1/k), (ii) robust to ill-conditioning: it only depends on an initial error and modelindependent constants and (iii) sharp up to a multiplicative constant lower than 11. In particular, it does not depend on the smallest eigenvalue of the uncentered covariance matrix of the linear parametrization, unlike all pre-existing O(1/k) rates in the TD(0) literature. We also introduce PCTD(0), a variant of TD(0), which benefits from better convergence properties under an additional assumption of strong mixing on the Markov Chain.
基于线性函数逼近的TD(0)算法的快速鲁棒收敛率:通用学习步长与独立同分布样本 /
Fast and Robust Convergence Rate for TD(0) with Linear Function Approximation, Universal Learning Steps and I.I.D. Samples
1️⃣ 一句话总结
本文证明了在独立同分布样本下,使用恒定学习步长和平均方法的TD(0)强化学习算法,其均方误差能以最优的1/k速度收敛,且该收敛率不依赖问题中协方差矩阵的最小特征值,因此对病态问题具有鲁棒性,同时论文还提出了一种在强混合条件下收敛更快的改进版本PCTD(0)。