Web: http://arxiv.org/abs/2205.05800

May 13, 2022, 1:11 a.m. | Tianjiao Li, Feiyang Wu, Guanghui Lan

cs.LG updates on arXiv.org arxiv.org

We study the problem of average-reward Markov decision processes (AMDPs) and
develop novel first-order methods with strong theoretical guarantees for both
policy evaluation and optimization. Existing on-policy evaluation methods
suffer from sub-optimal convergence rates as well as failure in handling
insufficiently random policies, e.g., deterministic policies, for lack of
exploration. To remedy these issues, we develop a novel variance-reduced
temporal difference (VRTD) method with linear function approximation for
randomized policies along with optimal convergence guarantees, and an
exploratory variance-reduced temporal …

arxiv decision markov processes stochastic

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