Convergence Guarantees of Model-free Policy Gradient Methods for LQR with Stochastic Data

• Main Authors: Song, Bowen, Iannelli, Andrea
• Format: Journal Article
• Language: English
• Published: 27.02.2025
• Subjects: Computer Science - Systems and Control
• DOI: 10.48550/arxiv.2502.19977

Policy gradient (PG) methods are the backbone of many reinforcement learning algorithms due to their good performance in policy optimization problems. As a gradient-based approach, PG methods typically rely on knowledge of the system dynamics. However, this information is not always available, and in such cases, trajectory data can be utilized to approximate first-order information. When the data are noisy, gradient estimates become inaccurate and a formal investigation that encompasses uncertainty estimation and the analysis of its propagation through the algorithm is currently missing. To address this, our work focuses on the Linear Quadratic Regulator (LQR) problem for systems subject to additive stochastic noise. After briefly summarizing the state of the art for cases with a known model, we focus on scenarios where the system dynamics are unknown, and approximate gradient information is obtained using zeroth-order optimization techniques. We analyze the theoretical properties by computing the error in the estimated gradient and examining how this error affects the convergence of PG algorithms. Additionally, we provide global convergence guarantees for various versions of PG methods, including those employing adaptive step sizes and variance reduction techniques, which help increase the convergence rate and reduce sample complexity. One contribution of this work is the study of the robustness of model-free PG methods, aiming to identify their limitations in the presence of noise and propose improvements to enhance their applicability. Numerical simulations show that these theoretical analyses provide valuable guidance in tuning the algorithm parameters, thereby making these methods more reliable in practically relevant scenarios.