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arXiv · 2210.12057

Efficient Global Planning in Large MDPs via Stochastic Primal-Dual Optimization

Gergely Neu·Nneka Okolo
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Abstract

We propose a new stochastic primal-dual optimization algorithm for planning in a large discounted Markov decision process with a generative model and linear function approximation. Assuming that the feature map approximately satisfies standard realizability and Bellman-closedness conditions and also that the feature vectors of all state-action pairs are representable as convex combinations of a small core set of state-action pairs, we show that our method outputs a near-optimal policy after a polynomial number of queries to the generative model. Our method is computationally efficient and comes with the major advantage that it outputs a single softmax policy that is compactly represented by a low-dimensional parameter vector, and does not need to execute computationally expensive local planning subroutines in runtime.

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Gergely Neu, Nneka Okolo. 2022-10-21. Efficient Global Planning in Large MDPs via Stochastic Primal-Dual Optimization. https://arxiv.org/abs/2210.12057

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