Nonlinear control systems with partial information to the decision maker are prevalent in a variety of applications. As a step toward studying such nonlinear systems, this work explores reinforcement learning methods for finding the optimal policy in the nearly linear-quadratic regulator systems. In particular, we consider a dynamic system that combines linear and nonlinear components, and is governed by a policy with the same structure. Assuming that the nonlinear component comprises kernels with small Lipschitz coefficients, we characterize the optimization landscape of the cost function. Although the cost function is nonconvex in general, we establish the local strong convexity and smoothness in the vicinity of the global optimizer. Additionally, we propose an initialization mechanism to leverage these properties. Building on the developments, we design a policy gradient algorithm that is guaranteed to converge to the globally optimal policy with a linear rate.
The proximal policy optimization (PPO) algorithm stands as one of the most prosperous methods in the field of reinforcement learning (RL). Despite its success, the theoretical understanding of PPO remains deficient. Specifically, it is unclear whether PPO or its optimistic variants can effectively solve linear Markov decision processes (MDPs), which are arguably the simplest models in RL with function approximation. To bridge this gap, we propose an optimistic variant of PPO for episodic adversarial linear MDPs with full-information feedback, and establish a $\tilde{\mathcal{O}}(d^{3/4}H^2K^{3/4})$ regret for it. Here $d$ is the ambient dimension of linear MDPs, $H$ is the length of each episode, and $K$ is the number of episodes. Compared with existing policy-based algorithms, we achieve the state-of-the-art regret bound in both stochastic linear MDPs and adversarial linear MDPs with full information. Additionally, our algorithm design features a novel multi-batched updating mechanism and the theoretical analysis utilizes a new covering number argument of value and policy classes, which might be of independent interest.
Optimal control problems driven by evolutionary partial differential equations arise in many industrial applications and their numerical solution is known to be a challenging problem. One approach to obtain an optimal feedback control is via the Dynamic Programming principle. Nevertheless, despite many theoretical results, this method has been applied only to very special cases since it suffers from the curse of dimensionality. Our goalis to mitigate this crucial obstruction developing a new version of dynamic programming algorithms based on a tree structure and exploiting the compact representation of the dynamical systems based on tensors notations via a model reduction approach. Here, we want to show how this algorithm can be constructed for general nonlinear control problems and to illustrate its performances on a number of challenging numerical tests. Our numerical results indicate a large decrease in memory requirements, as well as computational time, for the proposed problems. Moreover, we prove the convergence of the algorithm and give some hints on its implementation
Previous results have shown that a two time-scale update rule (TTUR) using different learning rates, such as different constant rates or different decaying rates, is useful for training generative adversarial networks (GANs) in theory and in practice. Moreover, not only the learning rate but also the batch size is important for training GANs with TTURs and they both affect the number of steps needed for training. This paper studies the relationship between batch size and the number of steps needed for training GANs with TTURs based on constant learning rates. We theoretically show that, for a TTUR with constant learning rates, the number of steps needed to find stationary points of the loss functions of both the discriminator and generator decreases as the batch size increases and that there exists a critical batch size minimizing the stochastic first-order oracle (SFO) complexity. Then, we use the Fr'echet inception distance (FID) as the performance measure for training and provide numerical results indicating that the number of steps needed to achieve a low FID score decreases as the batch size increases and that the SFO complexity increases once the batch size exceeds the measured critical batch size. Moreover, we show that measured critical batch sizes are close to the sizes estimated from our theoretical results.
Recent studies have shown that episodic reinforcement learning (RL) is no harder than bandits when the total reward is bounded by $1$, and proved regret bounds that have a polylogarithmic dependence on the planning horizon $H$. However, it remains an open question that if such results can be carried over to adversarial RL, where the reward is adversarially chosen at each episode. In this paper, we answer this question affirmatively by proposing the first horizon-free policy search algorithm. To tackle the challenges caused by exploration and adversarially chosen reward, our algorithm employs (1) a variance-uncertainty-aware weighted least square estimator for the transition kernel; and (2) an occupancy measure-based technique for the online search of a \emph{stochastic} policy. We show that our algorithm achieves an $\tilde{O}\big((d+\log (|\mathcal{S}|^2 |\mathcal{A}|))\sqrt{K}\big)$ regret with full-information feedback, where $d$ is the dimension of a known feature mapping linearly parametrizing the unknown transition kernel of the MDP, $K$ is the number of episodes, $|\mathcal{S}|$ and $|\mathcal{A}|$ are the cardinalities of the state and action spaces. We also provide hardness results and regret lower bounds to justify the near optimality of our algorithm and the unavoidability of $\log|\mathcal{S}|$ and $\log|\mathcal{A}|$ in the regret bound.
Originally introduced as a neural network for ensemble learning, mixture of experts (MoE) has recently become a fundamental building block of highly successful modern deep neural networks for heterogeneous data analysis in several applications, including those in machine learning, statistics, bioinformatics, economics, and medicine. Despite its popularity in practice, a satisfactory level of understanding of the convergence behavior of Gaussian-gated MoE parameter estimation is far from complete. The underlying reason for this challenge is the inclusion of covariates in the Gaussian gating and expert networks, which leads to their intrinsically complex interactions via partial differential equations with respect to their parameters. We address these issues by designing novel Voronoi loss functions to accurately capture heterogeneity in the maximum likelihood estimator (MLE) for resolving parameter estimation in these models. Our results reveal distinct behaviors of the MLE under two settings: the first setting is when all the location parameters in the Gaussian gating are non-zeros while the second setting is when there exists at least one zero-valued location parameter. Notably, these behaviors can be characterized by the solvability of two different systems of polynomial equations. Finally, we conduct a simulation study to verify our theoretical results.
Direct policy optimization in reinforcement learning is usually solved with policy-gradient algorithms, which optimize policy parameters via stochastic gradient ascent. This paper provides a new theoretical interpretation and justification of these algorithms. First, we formulate direct policy optimization in the optimization by continuation framework. The latter is a framework for optimizing nonconvex functions where a sequence of surrogate objective functions, called continuations, are locally optimized. Second, we show that optimizing affine Gaussian policies and performing entropy regularization can be interpreted as implicitly optimizing deterministic policies by continuation. Based on these theoretical results, we argue that exploration in policy-gradient algorithms consists in computing a continuation of the return of the policy at hand, and that the variance of policies should be history-dependent functions adapted to avoid local extrema rather than to maximize the return of the policy.
Various methods have been proposed to approximate a solution to the truncated Hausdorff moment problem. In this paper, we establish a method of comparison for the performance of the approximations. Three ways of producing random moment sequences are discussed and applied. Also, some of the approximations have been rewritten as linear transforms, and detailed accuracy requirements are analyzed. Our finding shows that the performance of the approximations differs significantly in their convergence properties, accuracy, and numerical complexity and that the decay type of the moment sequence strongly affects the accuracy requirement.
The use of mini-batches of data in training artificial neural networks is nowadays very common. Despite its broad usage, theories explaining quantitatively how large or small the optimal mini-batch size should be are missing. This work presents a systematic attempt at understanding the role of the mini-batch size in training two-layer neural networks. Working in the teacher-student scenario, with a sparse teacher, and focusing on tasks of different complexity, we quantify the effects of changing the mini-batch size $m$. We find that often the generalization performances of the student strongly depend on $m$ and may undergo sharp phase transitions at a critical value $m_c$, such that for $m<m_c$ the training process fails, while for $m>m_c$ the student learns perfectly or generalizes very well the teacher. Phase transitions are induced by collective phenomena firstly discovered in statistical mechanics and later observed in many fields of science. Finding a phase transition varying the mini-batch size raises several important questions on the role of a hyperparameter which have been somehow overlooked until now.
In the field of Explainable Artificial Intelligence (XAI), counterfactual examples explain to a user the predictions of a trained decision model by indicating the modifications to be made to the instance so as to change its associated prediction. These counterfactual examples are generally defined as solutions to an optimization problem whose cost function combines several criteria that quantify desiderata for a good explanation meeting user needs. A large variety of such appropriate properties can be considered, as the user needs are generally unknown and differ from one user to another; their selection and formalization is difficult. To circumvent this issue, several approaches propose to generate, rather than a single one, a set of diverse counterfactual examples to explain a prediction. This paper proposes a review of the numerous, sometimes conflicting, definitions that have been proposed for this notion of diversity. It discusses their underlying principles as well as the hypotheses on the user needs they rely on and proposes to categorize them along several dimensions (explicit vs implicit, universe in which they are defined, level at which they apply), leading to the identification of further research challenges on this topic.
This manuscript portrays optimization as a process. In many practical applications the environment is so complex that it is infeasible to lay out a comprehensive theoretical model and use classical algorithmic theory and mathematical optimization. It is necessary as well as beneficial to take a robust approach, by applying an optimization method that learns as one goes along, learning from experience as more aspects of the problem are observed. This view of optimization as a process has become prominent in varied fields and has led to some spectacular success in modeling and systems that are now part of our daily lives.