奖励加权回归收敛到全局最优
Reward-Weighted Regression Converges to a Global Optimum
Miroslav Štrupl, Francesco Faccio, Dylan R. Ashley, Rupesh Kumar Srivastava, Jürgen Schmidhuber
AI 速读 基于摘要
作者首次证明在无函数逼近的一般紧致设定下,奖励加权回归(RWR)收敛到全局最优,并在有限状态动作空间给出状态值函数的R-线性收敛。
stat.ML · cs.AI · cs.LG
查看原文摘要
Reward-Weighted Regression (RWR) belongs to a family of widely known iterative Reinforcement Learning algorithms based on the Expectation-Maximization framework. In this family, learning at each iteration consists of sampling a batch of trajectories using the current policy and fitting a new policy to maximize a return-weighted log-likelihood of actions. Although RWR is known to yield monotonic improvement of the policy under certain circumstances, whether and under which conditions RWR converges to the optimal policy have remained open questions. In this paper, we provide for the first time a proof that RWR converges to a global optimum when no function approximation is used, in a general compact setting. Furthermore, for the simpler case with finite state and action spaces we prove R-linear convergence of the state-value function to the optimum.