3 research outputs found
A Two-Timescale Framework for Bilevel Optimization: Complexity Analysis and Application to Actor-Critic
This paper analyzes a two-timescale stochastic algorithm framework for
bilevel optimization. Bilevel optimization is a class of problems which exhibit
a two-level structure, and its goal is to minimize an outer objective function
with variables which are constrained to be the optimal solution to an (inner)
optimization problem. We consider the case when the inner problem is
unconstrained and strongly convex, while the outer problem is constrained and
has a smooth objective function. We propose a two-timescale stochastic
approximation (TTSA) algorithm for tackling such a bilevel problem. In the
algorithm, a stochastic gradient update with a larger step size is used for the
inner problem, while a projected stochastic gradient update with a smaller step
size is used for the outer problem. We analyze the convergence rates for the
TTSA algorithm under various settings: when the outer problem is strongly
convex (resp.~weakly convex), the TTSA algorithm finds an
-optimal (resp.~-stationary)
solution, where is the total iteration number. As an application, we show
that a two-timescale natural actor-critic proximal policy optimization
algorithm can be viewed as a special case of our TTSA framework. Importantly,
the natural actor-critic algorithm is shown to converge at a rate of
in terms of the gap in expected discounted reward
compared to a global optimal policy.Comment: Major revision; Streamlined the presentation; Simplified the proo