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arXiv · 2401.07844

The ODE Method for Stochastic Approximation and Reinforcement Learning with Markovian Noise

Shuze Daniel Liu·Shuhang Chen·Shangtong Zhang
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Abstract

Stochastic approximation is a class of algorithms that update a vector iteratively, incrementally, and stochastically, including, e.g., stochastic gradient descent and temporal difference learning. One fundamental challenge in analyzing a stochastic approximation algorithm is to establish its stability, i.e., to show that the stochastic vector iterates are bounded almost surely. In this paper, we extend the celebrated Borkar-Meyn theorem for stability from the Martingale difference noise setting to the Markovian noise setting, which greatly improves its applicability in reinforcement learning, especially in those off-policy reinforcement learning algorithms with linear function approximation and eligibility traces. Central to our analysis is the diminishing asymptotic rate of change of a few functions, which is implied by both a form of the strong law of large numbers and a form of the law of the iterated logarithm.

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Shuze Daniel Liu, Shuhang Chen, Shangtong Zhang. 2024-01-15. The ODE Method for Stochastic Approximation and Reinforcement Learning with Markovian Noise. https://arxiv.org/abs/2401.07844

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