PGQ: Combining policy gradient and Q-learning PGQ: Combining policy gradient and Q-learning
Paper summary This paper proposes an approach to incorporate off-line samples in Policy Gradient. The authors were able to do this by drawing a parallel between Policy Gradient and Q-Learning. This is the second paper in ICLR 2017 that tries to use off-line samples to accelerate the learning in Policy Gradient. The summary of the first paper can be found [here](http://www.shortscience.org/paper?bibtexKey=journals/corr/WangBHMMKF16]). This is the first paper that describes the relationship between policy gradient and Q-learning. Lets consider a simple case of a grid world problem. In this problem, at every state, you can take one of the four actions: left, right, up, or down. Lets assume that, you are following a policy $\pi_\theta(\cdot|s_t)$. Let $\beta^{\pi_\theta}(s_t)$ denotes the stationary probability distribution of states under policy $\pi_\theta$ and $r(s, a)$ be the reward that we get after taking action $a$ at state $s$. Then our goal is to maximize $$ \begin{array}{ccc} &\arg\max_{\theta} \mathbb{E}_{s \sim \beta^{\pi_\theta}} \sum_{a}\pi_\theta(a|s) r(s, a) + \alpha H(\pi_\theta(\cdot| s))&\\ & \sum_{a} \pi_\theta(a|s) = 1 \;\;\forall\;\; s \end{array} $$ Note that the above equation is a regularized policy optimization approach where we added a entropy bonus term, $H(\pi_{\theta}(\cdot | s))$ to enhance exploration. Mathematically, $$ H(\pi_{\theta}(\cdot | s)) = - \sum_{a} \pi_\theta(a|s)\log\pi_\theta(a|s) $$ and $$ \begin{array}{ccl} \nabla_\theta H(\pi_{\theta}(\cdot | s))& = &- \sum_{a} \left(1 + \log\pi_\theta(a|s)\right) \nabla_\theta \pi_\theta(a|s) \\ & = &- \mathbb{E}_{a \sim \pi_\theta(\cdot|s)}\left(1 + \log\pi_\theta(a|s)\right) \nabla_\theta \log\pi_\theta(a|s) \;\; \text{(likelihood trick)} \end{array} $$ Lagrange multiplier tells us that at the critical point $\theta^*$ of the above optimization problem, the gradient of optimization function should be parallel to gradient of constraint. Using the Policy Gradient Theorem, the gradient of the objective at optimal policy $\theta^*$ is $$ \mathbb{E}_{s \sim \beta^{\pi_{\theta^*}}, a \sim \pi_{\theta^*}(\cdot|s)} \nabla_{\theta} \log\pi_{\theta^*}(a|s) \left(Q^{\pi_{\theta^*}}(s, a) - \alpha - \alpha \log\pi_{\theta^*}(a|s)\right) $$ The gradient of the constraint at the optimal point $\theta^*$ is $$ \mathbb{E}_{s \sim \beta^{\pi_{\theta^*}}, a \sim \pi_{\theta^*}(\cdot|s)} \lambda_s \nabla_{\theta^*}\log\pi_{\theta^*}(a|s) $$ Using the theory of Lagrange multiplication $$ \begin{array}{lll} &&\mathbb{E}_{s \sim \beta^{\pi_{\theta^*}}, a \sim \pi_{\theta^*}(\cdot|s)} \nabla_{\theta}\log\pi_{\theta^*}(a|s) \left(Q^{\pi_{\theta^*}}(s, a) - \alpha - \alpha \log\pi_{\theta^*}(a|s)\right) = \\ &&\mathbb{E}_{s \sim \beta^{\pi_{\theta^*}}, a \sim \pi_{\theta^*}(\cdot|s)} \lambda_s \nabla_{\theta}\log\pi_{\theta^*}(a|s) \end{array} $$ If $\beta^{\pi_{\theta^*}}(s) > 0\;\; \forall\;\; s $ and $0 < \pi_{\theta^*}(a | s) < 1\;\; \forall\;\; s, a$, then for the tabular case of grid world, we get $$ Q^{\pi_{\theta^*}}(s, a) - \alpha \log\pi_{\theta^*}(a|s) = \lambda_{s}\;\; \forall \;\; a $$ By multiplying both sides in above equation with $\pi_{\theta^*}(a|s)$ and summing over $a$, we get $$ \lambda_s = V^{\pi_{\theta^*}}(s) + \alpha H(\pi_\theta(\cdot | s)) $$ Using the value of Lagrange Multiplier, the action-value function of the optimal policy $\pi_{{\theta^*}}$ is $$ {Q}^{\pi_{\theta^*}}(s, a) = V^{\pi_{\theta^*}}(s) + \alpha \left(H(\pi_{\theta^*}(\cdot | s)) + \log\pi_{\theta^*}(a|s)\right) $$ and the optimal policy $\pi_{\theta^*}$ is a softmax policy $$ \pi_{\theta^*}(a|s) = \exp\left( \frac{Q^{\pi_{\theta^*}}(s, a) - V^{\pi_{\theta^*}}(s)}{\alpha} - H(\pi_{\theta^*}(\cdot|s))\right) $$ The above relationship suggests that the optimal policy for the tabular case is a softmax policy of action-value function. Mainly; $$ \pi_{\theta^*}(a|s) = \frac{\exp\left(\frac{Q^{\pi_{\theta^*}}(s,a)}{\alpha}\right)}{\sum_b \exp\left(\frac{Q^{\pi_{\theta^*}}(s,b)}{\alpha}\right)} $$ Note that as the $\alpha \rightarrow 0$, the above policy becomes a greedy policy. Since we know that $Q$ learning reaches to an optimal policy, we can say that the above softmax policy will also converge to the optimal policy as the $\alpha \rightarrow 0$. The authors suggest that even when the policy $\pi_{\theta}$ is not an optimal policy, we can still use the $\tilde{Q}^{\pi_\theta}(s, a)$ as an estimate for action-value of policy $\pi_\theta$ where $$ \tilde{Q}^{\pi_{\theta}}(s, a) = V^{\pi_{\theta}}(s) + \alpha \left(H(\pi_{\theta}(\cdot | s)) + \log\pi_{\theta}(a|s)\right) $$ In the light of above definition of $\tilde{Q}^{\pi_\theta}(s, a)$, the update rule for the regularized policy gradient can be written as $$ \mathbb{E}_{s \sim \beta^{\pi_\theta}, a \sim \pi_\theta(\cdot|s)} \nabla_{\theta} \log\pi_\theta(a|s) \left(Q^{\pi_\theta}(s, a) - {\tilde{Q}}^{\pi_\theta}(s, a) \right) $$ Note that all the term in the above equation that depend only on the state $s$ can be incorporated using the baseline trick. **Author shows a strong similarity between Duelling DQN and Actor-critice method** In a duelling architecture, action-values are represented as summation of Advantage and Value function. Mathematically, $$ Q(s, a) = A^w(s, a) - \sum_a \mu(a|s) A^w(s, a) + V^\phi(s) $$ The goal of the middle term in the above equation to obtain advantage, $A^w(s, a)$, and value function, $V(s)$, uniquely given $Q(s, a) \forall a$. In the Duelling architecture, we will minimize the following error $$ (r+ \max_b Q(s', b) - Q(s, a))^2 $$ Consequently, we will update the $w$ and $\phi$ parameters as following: $$ \begin{array}{ccc} \Delta W &\sim& (r+ \max_b Q(s', b) - Q(s, a)) \nabla \left( A^w(s, a) - \sum_a \mu(a|s) A^w(s, a) \right) \\ \Delta \phi &\sim& (r+ \max_b Q(s', b) - Q(s, a)) \nabla \left( V^\phi(s) \right) \end{array} $$ Now assume an actor-critic approach, where policy is parametrized by $A^w(s, a)$ and there is a critic $V^\phi(s)$ of value-function. The policy $\pi_w(s, a)$ is $$ \pi_w(s, a) = \frac{e^{A^w(s, a)/\alpha}}{\sum_a e^{A^w(s, a)/\alpha}} $$ Note that $$ \nabla_w \log\pi_w(s, a) = \nabla_w \frac{1}{\alpha}\left(A^w(s, a) - \sum_a \pi_w(s, a) A^w(s, a)\right) $$ To estimate the $Q$-values of policy $\pi_w$, we use the estimator obtained from optimal policy: $$ \begin{array}{ccc} \hat{Q}(s, a) &=& \alpha \left(-\sum_a \pi_w(a | s)\log\pi_w(a | s) + \log\pi_w(a|s)\right) + V^\phi(s) \\ &=& A^w(s, a) - \sum_a \pi_w(a | s) A^w(s, a) + V^\phi(s) \end{array} $$ Note that the $Q-$estimate in the actor critic and duelling architecture are different in using $\pi$ instead of $\mu$. The actor update rule in the regularized policy gradient will be $$ \Delta W \sim (r+ \max_b Q(s', b) - Q(s, a)) \nabla \left( A^w(s, a) - \sum_a \pi_w(a|s) A^w(s, a) \right) $$ and the critic update rule is $$ \Delta \phi \sim (r+ \max_b Q(s', b) - Q(s, a)) \nabla V^\phi(s) $$ Note that the rules to update $V^{\phi}$ is same in both DQN and actor-critic. The rule to update the critic varies in the probability distribution that is used to normalize the advantage function to make it unique. ** PGQ Algorithm** Given this information PGQ Algorithm is simple and consist of the following steps: 1. Lets $\pi_\theta(a|s)$ represent our policy network and $V^w(s)$ represent our value network. 2. do $N$ times 1. We collect samples $\{s_1, a_1, r_1, s_2, a_2, r_2, \cdots, s_T\}$ using policy $\pi_\theta$. 2. We compute $Q^{\pi_\theta}(s_t, a_t) = \alpha(\log \pi(a_t| s_t) + H(\pi(\cdot|s_t))) + V(s_t)\;\; \forall t$. 3. We update $\theta$ using the regularized policy gradient approach: $$ \begin{array}{ccc} \Delta \theta & = & \nabla_\theta \log \pi_\theta(a|s)(r_t + \max_b \tilde{Q}^{\pi_\theta}(s_{t+1}, b) - \tilde{Q}^{\pi_\theta}(s_{t}, a_{t} )\\ \Delta \theta & = & \nabla_\theta (W_\theta(s, a) - \sum_{a} \pi_\theta(a|s) W_\theta(s, a))(r_t + \max_b \tilde{Q}^{\pi_\theta}(s_{t+1}, b) - \tilde{Q}^{\pi_\theta}(s_{t}, a_{t} ) \end{array} $$ where $\pi_{\theta}(s, a) = \frac{e^{W(s, a)}}{\sum_b e^{W(s, b)}}$ We update the critic by minimizing the mean square error: $$ ((r_t + \max_b \tilde{Q}^{\pi_\theta}(s_{t+1}, b) - \tilde{Q}^{\pi_\theta}(s_{t}, a_{t} ))^2 $$

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