Reinforcement Learning via Fenchel-Rockafellar Duality Ofir Nachum Bo Dai
[email protected] [email protected] Google Research Google Research Abstract We review basic concepts of convex duality, focusing on the very general and supremely useful Fenchel-Rockafellar duality. We summarize how this duality may be applied to a variety of reinforcement learning (RL) settings, including policy evaluation or optimization, online or offline learning, and discounted or undiscounted rewards. The derivations yield a number of intriguing results, including the ability to perform policy evaluation and on-policy policy gradient with behavior-agnostic offline data and methods to learn a policy via max-likelihood optimization. Although many of these results have appeared previously in various forms, we provide a unified treatment and perspective on these results, which we hope will enable researchers to better use and apply the tools of convex duality to make further progress in RL. 1 Introduction Reinforcement learning (RL) aims to learn behavior policies to optimize a long-term decision-making process in an environment. RL is thus relevant to a variety of real- arXiv:2001.01866v2 [cs.LG] 9 Jan 2020 world applications, such as robotics, patient care, and recommendation systems. When tackling problems associated with the RL setting, two main difficulties arise: first, the decision-making problem is inherently sequential, with early decisions made by the policy affecting outcomes both near and far in the future; second, the learner’s knowledge of the environment is only through sampled experience, i.e., previously sampled trajectories of interactions, while the underlying mechanism governing the dynamics of these trajectories is unknown.