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Faculté et Recherche

Fixed-point error bounds for mean-payoff Markov decision processes

21 juin
2024
11H15 - 12H30
Jouy-en-Josas
Anglais

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2024-06-21T11:15:00 2024-06-21T12:30:00 Fixed-point error bounds for mean-payoff Markov decision processes Information Systems and Operations Management & Economics and Decision Sciences Speaker: Roberto Cominetti (UAI) Room S118 Jouy-en-Josas

Information Systems and Operations Management & Economics and Decision Sciences

Intervenant: Roberto Cominetti (UAI)

Salle S118

Abstract

We discuss the use of optimal transport techniques to derive finite-time error bounds for reinforcement learning in mean-payoff Markov decision processes. The results are obtained as a special case of stochastic Krasnoselski—Mann fixed point iterations for nonexpansive maps. We present sufficient conditions on the stochastic noise and stepsizes that guarantee almost sure convergence of the iterates towards a fixed point, as well as non-asymptotic error bounds and convergence rates. Our main results concern the case of a martingale difference noise with variances that can possibly grow unbounded. We also analyze the case of uniformly bounded variances, and how they apply for Stochastic Gradient Descent in convex optimization.

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2024-06-21T11:15:00 2024-06-21T12:30:00 Fixed-point error bounds for mean-payoff Markov decision processes Information Systems and Operations Management & Economics and Decision Sciences Speaker: Roberto Cominetti (UAI) Room S118 Jouy-en-Josas