arXiv:2007.11120

On Linear Convergence of Policy Gradient Methods for Finite MDPs

Jalaj Bhandari, Daniel Russo

제출 2020-07-21

원문 초록

We revisit the finite time analysis of policy gradient methods in the one of the simplest settings: finite state and action MDPs with a policy class consisting of all stochastic policies and with exact gradient evaluations. There has been some recent work viewing this setting as an instance of smooth non-linear optimization problems and showing sub-linear convergence rates with small step-sizes. Here, we take a different perspective based on connections with policy iteration and show that many variants of policy gradient methods succeed with large step-sizes and attain a linear rate of convergence.

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