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A First-Order Approach to Accelerated Value Iteration

Markov decision processes (MDPs) are used to model stochastic systems in many applications. Several efficient algorithms to compute optimal policies have been studied in the literature, including value iteration (VI) and policy iteration. However, these do not scale well, especially when the discount factor for the infinite horizon discounted reward, λ, gets close to one. In particular, the running time scales as O(1/(1−λ)) for these algorithms. In this paper, our goal is to design new algorithms that scale better than previous approaches when λ approaches 1. Our main contribution is to present a connection between VI and gradient descent and adapt the ideas of acceleration and momentum in convex optimization to design faster algorithms for MDPs. We prove theoretical guarantees of faster convergence of our algorithms for the computation of the value function of a policy, where the running times of our algorithms scale as O(1/1−λ−−−−−√) for reversible MDP instances. The improvement is quite analogous to Nesterov’s acceleration and momentum in convex optimization. We also provide a lower bound on the convergence properties of any first-order algorithm for solving MDPs, presenting a family of MDPs instances for which no algorithm can converge faster than VI when the number of iterations is smaller than the number of states. We introduce safe accelerated value iteration (S-AVI), which alternates between accelerated updates and value iteration updates. Our algorithm S-AVI is worst-case optimal and retains the theoretical convergence properties of VI while exhibiting strong empirical performances and providing significant speedups when compared with classical approaches (up to one order of magnitude in many cases) for a large test bed of MDP instances.

Ketersediaan

Informasi Detail

Judul Seri

OPERATIONS RESEARCH; Vol.71 No.2 March-April 2023

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 517-535

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

MARKOV DECISION PROCESS
VALUE ITERATION
ACCELERATED GRADIENT DESCENT

Info Detail Spesifik

https://doi.org/10.1287/opre.2022.2269

Pernyataan Tanggungjawab

Vineet Goyal, Julien Grand-Clement

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