Model-based RL

2018-09-19 本文已影响13人海街diary

注：以下内容基于CS598.

1. Estimate Model

给定数据集 $D=\{(s_1, a_1, r_1, s_1^\prime), (s_2, a_2, r_2, s_2^\prime) \cdots (s_n, a_n, r_n, s_n^\prime) \}$ , 采用极大似然对模型进行估计。用 $|D_{s,a}|$ 表示 $(s_i=s, a_i=a, \cdots)$ 的样本数。

$\hat P(s^\prime|s, a) = \frac{1}{|D_{s,a}|} \sum_{(r, s^\prime) \in D_{s,a} }\mathbb{I}_{s^\prime}$

$\hat R(s,a) = \frac{1}{|D_{s,a}|} \sum_{(r, s^\prime) \in D_{s, a}} r$

2. Analysis of Certainty-Equivalence RL

2.1 Naive analysis

根据Hoeffding's Inequality: With probability at least $1-\delta$ ,

$|\frac{S_n}{n} - \frac{\mathbb{E}[S_n|}{n}| \leq (b-a) \sqrt{\frac{1}{2n}\ln{\frac{2}{\delta}}}$

将失败率 $\delta$ 分别平摊到 $|S \times A|$ 和 $|S \times A \times S|$ 个事件上，有:

$\max_{s,a} |\hat R(s,a) - R(s,a) | \leq R_{max} \sqrt{\frac{1}{2n}\ln{\frac{4|S| \times |A|}{\delta}}}$

$\max_{s,a, s^\prime} |\hat P(s^\prime|s,a) - P(s^\prime|s, a) | \leq \sqrt{\frac{1}{2n}\ln{\frac{4|S| \times |A| \times |S|}{\delta}}}$

所以, 定义 $P(s,a) = P(\cdot|s,a)$ 为一个 $|S|$ 维的vector，有：

$\max_{s, a} ||\hat P(s, a) - P(s, a)||_1 \leq \max_{s,a} |S| \cdot ||\hat P(s, a) - P(s, a)||_{\infty} \leq |S| \cdot \sqrt{\frac{1}{2n}\ln{\frac{4|S| \times |A| \times |S|}{\delta}}}$

Lemma 1(Simulation Lemma)

If $\max_{s,a}|\hat R(s,a) - R(s,a)| \leq \epsilon_R$ and $\max_{s,a}|\hat P(s,a) - P(s,a)| \leq \epsilon_P$ , then for any policy $\pi: S \to A$ , we have $\forall s \in S$
$|| V^{\pi}_{\hat M} - V^{\pi}_{M} ||_{\infty} \leq \frac{\epsilon_R}{1 - \gamma} + \frac{\gamma \epsilon_P R_{max}}{2(1-\gamma)^2}$

Proof: $\forall s \in S$
$\begin{align*} | V^{\pi}_{\hat M}(s) - V^{\pi}_{M}(s) | &= | \hat R(s,a) + \gamma \hat {P}(s'|s,a) \cdot V^\pi_{\hat M}(s') - R(s,a) - \gamma P(s'|s,a) \cdot V^\pi_M(s')| \\ & \leq |\hat R(s,a)-R(s,a)| + \gamma | \hat P(s'|s,a) \cdot V^\pi_{\hat M}(s') - P(s'|s,a) \cdot V^\pi_M(s')| \\ &\leq \epsilon_R + \gamma |\hat P(s,a) \cdot V^\pi_{\hat M} - P(s,a) \cdot V^\pi_{\hat M} + P(s,a) \cdot V^\pi_{\hat M} - P(s,a) \cdot V^\pi_M| \quad (ignore \, s')\\ &\leq \epsilon_R +\gamma |(\hat P(s,a) - P(s,a)) \cdot V^\pi_{\hat M}| +\gamma | P(s,a) \cdot (V^\pi_{\hat M} - V^\pi_M) | \\ &\leq \epsilon_R + \gamma |(\hat P(s,a) - P(s,a)) \cdot (V^\pi_{\hat M} - \frac{R_{max}}{2(1-\gamma)} {\mathbf{1}} )| + \gamma ||(V^\pi_{\hat M} - V^\pi_M)||_{\infty} \\ &\leq \epsilon_R + \gamma ||\hat P(s,a) - P(s,a)||_{1} \times ||V^\pi_{\hat M} - \frac{R_{max}}{2(1-\gamma)} {\mathbf{1}} ||_{\infty} + \gamma |(V^\pi_{\hat M} - V^\pi_M)|_{\infty} \\ &\leq \epsilon_R + \gamma \frac{ \epsilon_P R_{max}}{2(1-\gamma)} + \gamma ||(V^\pi_{\hat M} - V^\pi_M)||_{\infty}\\ Thus,\\ (1-\gamma)& ||(V^\pi_{\hat M} - V^\pi_M)||_{\infty} \leq \epsilon_R + \gamma \frac{ \epsilon_P R_{max}}{2(1-\gamma)} \\ &||(V^\pi_{\hat M} - V^\pi_M)||_{\infty} \leq \frac{\epsilon_R}{1 - \gamma} + \frac{\gamma \epsilon_P R_{max}}{2(1-\gamma)^2} \end{align*}$

Lemma 1(Evaluation error to decision loss)

$\forall s \in S, V^*_M(s) - V^{\pi^*_{\hat M}}_M(s) \leq 2 \sup_{\pi: S \to A}||V^\pi_{\hat M} - V^\pi_{M}||_{\infty}.$

Proof: $\forall s \in S,$
$\begin{align*} V^*_M(s) - V^{\pi^*_{\hat M}}_M(s) &= V^*_M(s) - V^{\pi^*_M}_{\hat M}(s) + V^{\pi^*_M}_{\hat M}(s) - V^{\pi^*_{\hat M}}_M(s) \\ &\leq V^*_M(s) - V^{\pi^*_M}_{\hat M}(s) + V^{\pi^*_{\hat M}}_{\hat M}(s) - V^{\pi^*_{\hat M}}_M(s) \qquad ( \pi^*_{\hat M} \,maxmizes \quad v_{\hat M}) \\ & \leq || V^*_M(s) - V^{\pi^*_M}_{\hat M}(s)||_{\infty} + || V^{\pi^*_{\hat M}}_{\hat M}(s) - V^{\pi^*_{\hat M}}_M(s)||_{\infty}. \\ & \leq 2[\frac{\epsilon_R}{1 - \gamma} + \frac{\gamma \epsilon_P R_{max}}{2(1-\gamma)^2}] \qquad(Lemma \,1) \\ Thus, \\ V^*_M(s) - V^{\pi^*_{\hat M}}_M(s) &= \tilde{O} (\frac{|S|}{\sqrt{n}(1 - \gamma)^2}) \qquad \forall s \in S. \end{align*}$
Here $\tilde{O}(\cdot)$ supresses poly-logarithmic dependences on $|S|$ and $|A|$ .

2.2 Improving $S$ to $\sqrt{|S|}$

对于任意向量 $v \in \mathbb{R}^{|S|}$ , 有
$||v||_1 = \sup_{u \in {-1, 1}^{|S|}} u^T v.$

所以对于任意给定的 $(s,a)$ 和任意给定的 $u \in \{-1, 1\}^{|S|}$ , $u^T \hat P(s,a)$ 是以 $[-1, 1]$ 为界的随机变量，以至少 $1 - \delta/(2|S\times A| \cdot 2^{|S|})$ , 有
$u^T (\hat P(s,a) - P(s, a)) \leq 2 \sqrt{\frac{1}{2n} \ln \frac{2|S \times A| \cdot 2^{|S|}}{\delta}}$

所以, 以至少 $1 - \delta/2$ 的概率，有
$\max_{s, a} ||\hat P(s,a) - P(s, a)||_1 = \max_{s,a} \max_{u \in {-1, 1}^{|S|}} u^T (\hat P(s,a) - P(s, a)) \leq 2 \sqrt{\frac{1}{2n} \ln \frac{2|S \times A| \cdot 2^{|S|}}{\delta}}$

所以,
$V^*_M(s) - V^{\pi^*_{\hat M}}_M(s) = \tilde{O} (\frac{ \sqrt{|S|}}{\sqrt{n}(1 - \gamma)^2}) \qquad \forall s \in S$

Model-based RL

注：以下内容基于CS598.

1. Estimate Model

2. Analysis of Certainty-Equivalence RL

2.1 Naive analysis

Lemma 1(Simulation Lemma)

Lemma 1(Evaluation error to decision loss)

2.2 Improving $S$ to $\sqrt{|S|}$

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Model-based RL

注：以下内容基于CS598.

1. Estimate Model

2. Analysis of Certainty-Equivalence RL

2.1 Naive analysis

Lemma 1(Simulation Lemma)

Lemma 1(Evaluation error to decision loss)

2.2 Improving to

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2.2 Improving $S$ to $\sqrt{|S|}$