Addressing Finite-Horizon MDPs via Low-Rank Tensor Value Approximation

Abstract

We study the problem of learning optimal policies in finite-horizon Markov Decision Processes (MDPs) using low-rank reinforcement learning (RL) methods. In finite-horizon MDPs, the policies, and therefore the value functions (VFs) are not stationary. This aggravates the challenges of high-dimensional MDPs, as they suffer from the curse of dimensionality and high sample complexity. To address these issues, we propose modeling the VFs of finite-horizon MDPs as low-rank tensors, enabling a scalable representation that renders the problem of learning optimal policies tractable. Our approach focuses on VF approximation within a policy iteration framework, where low-rank policy evaluation is combined with greedy policy improvement to compute near-optimal policies. We introduce an optimization-based framework for solving the Bellman equations with low-rank constraints, along with block-coordinate descent (BCD) and block-coordinate gradient descent (BCGD) algorithms, both with theoretical convergence guarantees. We further establish that bounded low-rank policy evaluation error translates into bounded policy improvement in the finite-horizon setting. For scenarios where the system dynamics are unknown, we adapt the proposed BCGD method to estimate the VFs using sampled trajectories. Numerical experiments further demonstrate that the proposed framework reduces computational demands in controlled synthetic scenarios and more realistic resource allocation problems, while achieving competitive policy performance in terms of attained returns.