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## Section: New Results

### Reinforcement learning

14. On Matrix Momentum Stochastic Approximation and Applications to Q-learning [27] Stochastic approximation (SA) algorithms are recursive techniques used to obtain the roots of functions that can be expressed as expectations of a noisy parameterized family of functions. In this paper two new SA algorithms are introduced: 1) PolSA, an extension of Polyak’s momentum technique with a specially designed matrix momentum, and 2) NeSA, which can either be regarded as a variant of Nesterov’s acceleration method, or a simplification of PolSA. The rates of convergence of SA algorithms is well understood. Under special conditions, the mean square error of the parameter estimates is bounded by ${\sigma }^{2}/n+o\left(1/n\right)$, where ${\sigma }^{2}\ge 0$ is an identifiable constant. If these conditions fail, the rate is typically sub-linear. There are two well known SA algorithms that ensure a linear rate, with minimal value of variance, ${\sigma }^{2}$: the Ruppert-Polyak averaging technique, and the stochastic Newton-Raphson (SNR) algorithm. It is demonstrated here that under mild technical assumptions, the PolSA algorithm also achieves this optimality criteria. This result is established via novel coupling arguments: It is shown that the parameter estimates obtained from the PolSA algorithm couple with those of the optimal variance (but computationally more expensive) SNR algorithm, at a rate $O\left(1/{n}^{2}\right)$. The newly proposed algorithms are extended to a reinforcement learning setting to obtain new Q-learning algorithms, and numerical results confirm the coupling of PolSA and SNR.

15. Zap Q-Learning - A User's Guide [28] There are two well known Stochastic Approximation techniques that are known to have optimal rate of convergence (measured in terms of asymptotic variance): the Stochastic Newton-Raphson (SNR) algorithm (a matrix gain algorithm that resembles the deterministic Newton-Raphson method), and the Ruppert-Polyak averaging technique. This paper surveys new applications of these concepts for Q-learning: (i)The Zap Q-Learning algorithm was introduced by the authors in a NIPS 2017 paper. It is based on a variant of SNR, designed to more closely mimic its deterministic cousin. The algorithm has optimal rate of convergence under general assumptions, and showed astonishingly quick convergence in numerical examples. These algorithms are surveyed and illustrated with numerical examples. A potential difficulty in implementation of the Zap-Q-Learning algorithm is the matrix inversion required in each iteration. (ii)Remedies are proposed based on stochastic approximation variants of two general deterministic techniques: Polyak's momentum algorithms and Nesterov's acceleration technique. Provided the hyper-parameters are chosen with care, the performance of these algorithms can be comparable to the Zap algorithm, while computational complexity per iteration is far lower.

16. Zap Q-Learning With Nonlinear Function Approximation [44] The Zap stochastic approximation (SA) algorithm was introduced recently as a means to accelerate convergence in reinforcement learning algorithms. While numerical results were impressive, stability (in the sense of boundedness of parameter estimates) was established in only a few special cases. This class of algorithms is generalized in this paper, and stability is established under very general conditions. This general result can be applied to a wide range of algorithms found in reinforcement learning. Two classes are considered in this paper: (i)The natural generalization of Watkins' algorithm is not always stable in function approximation settings. Parameter estimates may diverge to infinity even in the linear function approximation setting with a simple finite state-action MDP. Under mild conditions, the Zap SA algorithm provides a stable algorithm, even in the case of nonlinear function approximation. (ii) The GQ algorithm of Maei et. al. 2010 is designed to address the stability challenge. Analysis is provided to explain why the algorithm may be very slow to converge in practice. The new Zap GQ algorithm is stable even for nonlinear function approximation.

17. Zap Q-Learning for Optimal Stopping Time Problems [43] The objective in this paper is to obtain fast converging reinforcement learning algorithms to approximate solutions to the problem of discounted cost optimal stopping in an irreducible, uniformly ergodic Markov chain, evolving on a compact subset of $I\phantom{\rule{-0.166667em}{0ex}}{R}^{n}$. We build on the dynamic programming approach taken by Tsitsikilis and Van Roy, wherein they propose a Q-learning algorithm to estimate the optimal state-action value function, which then defines an optimal stopping rule. We provide insights as to why the convergence rate of this algorithm can be slow, and propose a fast-converging alternative, the "Zap-Q-learning" algorithm, designed to achieve optimal rate of convergence. For the first time, we prove the convergence of the Zap-Q-learning algorithm under the assumption of linear function approximation setting. We use ODE analysis for the proof, and the optimal asymptotic variance property of the algorithm is reflected via fast convergence in a finance example.