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Poster

Variance-Reduced Off-Policy TDC Learning: Non-Asymptotic Convergence Analysis

Shaocong Ma · Yi Zhou · Shaofeng Zou

Poster Session 0 #95

Abstract: Variance reduction techniques have been successfully applied to temporal-difference (TD) learning and help to improve the sample complexity in policy evaluation. However, the existing work applied variance reduction to either the less popular one time-scale TD algorithm or the two time-scale GTD algorithm but with a finite number of i.i.d.\ samples, and both algorithms apply to only the on-policy setting. In this work, we develop a variance reduction scheme for the two time-scale TDC algorithm in the off-policy setting and analyze its non-asymptotic convergence rate over both i.i.d.\ and Markovian samples. In the i.i.d setting, our algorithm achieves an improved sample complexity \calO(ϵ35logϵ1) over the state-of-the-art result \calO(ϵ1logϵ1). In the Markovian setting, our algorithm achieves the state-of-the-art sample complexity \calO(ϵ1logϵ1) that is near-optimal. Experiments demonstrate that the proposed variance-reduced TDC achieves a smaller asymptotic convergence error than both the conventional TDC and the variance-reduced TD.

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