The most relevant problems in discounted reinforcement learning involve estimating the mean of a function under the stationary distribution of a Markov reward process, such as the expected return in policy evaluation, or the policy gradient in policy optimization. In practice, these estimates are produced through a finite-horizon episodic sampling, which neglects the mixing properties of the Markov process. It is mostly unclear how this mismatch between the practical and the ideal setting affects the estimation, and the literature lacks a formal study on the pitfalls of episodic sampling, and how to do it optimally. In this paper, we present a minimax lower bound on the discounted mean estimation problem that explicitly connects the estimation error with the mixing properties of the Markov process and the discount factor. Then, we provide a statistical analysis on a set of notable estimators and the corresponding sampling procedures, which includes the finite-horizon estimators often used in practice. Crucially, we show that estimating the mean by directly sampling from the discounted kernel of the Markov process brings compelling statistical properties w.r.t. the alternative estimators, as it matches the lower bound without requiring a careful tuning of the episode horizon.

A Tale of Sampling and Estimation in Discounted Reinforcement Learning

Metelli Alberto Maria;Mutti Mirco;Restelli Marcello
2023-01-01

Abstract

The most relevant problems in discounted reinforcement learning involve estimating the mean of a function under the stationary distribution of a Markov reward process, such as the expected return in policy evaluation, or the policy gradient in policy optimization. In practice, these estimates are produced through a finite-horizon episodic sampling, which neglects the mixing properties of the Markov process. It is mostly unclear how this mismatch between the practical and the ideal setting affects the estimation, and the literature lacks a formal study on the pitfalls of episodic sampling, and how to do it optimally. In this paper, we present a minimax lower bound on the discounted mean estimation problem that explicitly connects the estimation error with the mixing properties of the Markov process and the discount factor. Then, we provide a statistical analysis on a set of notable estimators and the corresponding sampling procedures, which includes the finite-horizon estimators often used in practice. Crucially, we show that estimating the mean by directly sampling from the discounted kernel of the Markov process brings compelling statistical properties w.r.t. the alternative estimators, as it matches the lower bound without requiring a careful tuning of the episode horizon.
2023
Proceedings of The 26th International Conference on Artificial Intelligence and Statistics
File in questo prodotto:
File Dimensione Formato  
metelli23a.pdf

accesso aperto

: Publisher’s version
Dimensione 548.76 kB
Formato Adobe PDF
548.76 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1243580
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? ND
social impact