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Anran Hu

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3 papers

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JMLR Journal 2022 Journal Article

Logarithmic Regret for Episodic Continuous-Time Linear-Quadratic Reinforcement Learning over a Finite-Time Horizon

Matteo Basei
Xin Guo
Anran Hu
Yufei Zhang

We study finite-time horizon continuous-time linear-quadratic reinforcement learning problems in an episodic setting, where both the state and control coefficients are unknown to the controller. We first propose a least-squares algorithm based on continuous-time observations and controls, and establish a logarithmic regret bound of magnitude $\mathcal{O}((\ln M)(\ln\ln M) )$, with $M$ being the number of learning episodes. The analysis consists of two components: perturbation analysis, which exploits the regularity and robustness of the associated Riccati differential equation; and parameter estimation error, which relies on sub-exponential properties of continuous-time least-squares estimators. We further propose a practically implementable least-squares algorithm based on discrete-time observations and piecewise constant controls, which achieves similar logarithmic regret with an additional term depending explicitly on the time stepsizes used in the algorithm. [abs] [ pdf ][ bib ] &copy JMLR 2022. ( edit, beta )

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AAAI Conference 2022 Conference Paper

Theoretical Guarantees of Fictitious Discount Algorithms for Episodic Reinforcement Learning and Global Convergence of Policy Gradient Methods

Xin Guo
Anran Hu
Junzi Zhang

When designing algorithms for finite-time-horizon episodic reinforcement learning problems, a common approach is to introduce a fictitious discount factor and use stationary policies for approximations. Empirically, it has been shown that the fictitious discount factor helps reduce variance, and stationary policies serve to save the per-iteration computational cost. Theoretically, however, there is no existing work on convergence analysis for algorithms with this fictitious discount recipe. This paper takes the first step towards analyzing these algorithms. It focuses on two vanilla policy gradient (VPG) variants: the first being a widely used variant with discounted advantage estimations (DAE), the second with an additional fictitious discount factor in the score functions of the policy gradient estimators. Non-asymptotic convergence guarantees are established for both algorithms, and the additional discount factor is shown to reduce the bias introduced in DAE and thus improve the algorithm convergence asymptotically. A key ingredient of our analysis is to connect three settings of Markov decision processes (MDPs): the finitetime-horizon, the average reward and the discounted settings. To our best knowledge, this is the first theoretical guarantee on fictitious discount algorithms for the episodic reinforcement learning of finite-time-horizon MDPs, which also leads to the (first) global convergence of policy gradient methods for finite-time-horizon episodic reinforcement learning.

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NeurIPS Conference 2019 Conference Paper

Learning Mean-Field Games

Xin Guo
Anran Hu
Renyuan Xu
Junzi Zhang

This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the existence of a unique Nash Equilibrium to this GMFG, and explains that naively combining Q-learning with the fixed-point approach in classical MFGs yields unstable algorithms. It then proposes a Q-learning algorithm with Boltzmann policy (GMF-Q), with analysis of convergence property and computational complexity. The experiments on repeated Ad auction problems demonstrate that this GMF-Q algorithm is efficient and robust in terms of convergence and learning accuracy. Moreover, its performance is superior in convergence, stability, and learning ability, when compared with existing algorithms for multi-agent reinforcement learning.

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