Reward-Weighted Regression Converges to a Global Optimum
Miroslav Štrupl, Francesco Faccio, Dylan R. Ashley, Rupesh Kumar Srivastava, Jürgen Schmidhuber
Abstract
Reward-Weighted Regression (RWR) belongs to a family of widely known iterative Reinforcement Learning algorithms based on the Expectation-Maximization framework. In this family, learning at each iteration consists of sampling a batch of trajectories using the current policy and fitting a new policy to maximize a return-weighted log-likelihood of actions. Although RWR is known to yield monotonic improvement of the policy under certain circumstances, whether and under which conditions RWR converges to the optimal policy have remained open questions. In this paper, we provide for the first time a proof that RWR converges to a global optimum when no function approximation is used, in a general compact setting. Furthermore, for the simpler case with finite state and action spaces we prove R-linear convergence of the state-value function to the optimum.
BibTeX
@inproceedings{aaai2022_rewardweightedre,
title = {Reward-Weighted Regression Converges to a Global Optimum},
author = {Miroslav Štrupl and Francesco Faccio and Dylan R. Ashley and Rupesh Kumar Srivastava and Jürgen Schmidhuber},
booktitle = {AAAI 2022},
year = {2022}
}