<p>We study the global convergence of a Fisher–Rao policy gradient flow for infinite-horizon entropy-regularised Markov decision processes with Polish state and action spaces. The flow is a continuous-time analogue of a policy mirror descent method. We establish the global well-posedness of the gradient flow and demonstrate its exponential convergence to the optimal policy. Moreover, we prove the flow is stable with respect to gradient evaluation, offering insights into the performance of a natural policy gradient flow with log-linear policy parameterisation. To overcome challenges stemming from the lack of the convexity of the objective function and the discontinuity arising from the entropy regulariser, we leverage the performance difference lemma and the duality relationship between the gradient and mirror descent flows. Our analysis provides a theoretical foundation for developing various discrete policy gradient algorithms.</p>

错误:搜索内容不能为空,请输入英文关键词
错误:关键词超出字数限制,请精简
高级检索

A Fisher–Rao Gradient Flow for Entropy-Regularised Markov Decision Processes in Polish Spaces

  • Bekzhan Kerimkulov,
  • James-Michael Leahy,
  • David Siska,
  • Lukasz Szpruch,
  • Yufei Zhang

摘要

We study the global convergence of a Fisher–Rao policy gradient flow for infinite-horizon entropy-regularised Markov decision processes with Polish state and action spaces. The flow is a continuous-time analogue of a policy mirror descent method. We establish the global well-posedness of the gradient flow and demonstrate its exponential convergence to the optimal policy. Moreover, we prove the flow is stable with respect to gradient evaluation, offering insights into the performance of a natural policy gradient flow with log-linear policy parameterisation. To overcome challenges stemming from the lack of the convexity of the objective function and the discontinuity arising from the entropy regulariser, we leverage the performance difference lemma and the duality relationship between the gradient and mirror descent flows. Our analysis provides a theoretical foundation for developing various discrete policy gradient algorithms.