8 research outputs found
Policy Gradient Methods: Variance Reduction and Stochastic Convergence
In a reinforcement learning task an agent must learn a policy for performing actions
so as to perform well in a given environment. Policy gradient methods consider a
parameterized class of policies, and using a policy from the class, and a trajectory
through the environment taken by the agent using this policy, estimate the performance
of the policy with respect to the parameters. Policy gradient methods avoid
some of the problems of value function methods, such as policy degradation, where
inaccuracy in the value function leads to the choice of a poor policy. However, the
estimates produced by policy gradient methods can have high variance. ¶ ..
Learning Scheduling Algorithms for Data Processing Clusters
Efficiently scheduling data processing jobs on distributed compute clusters
requires complex algorithms. Current systems, however, use simple generalized
heuristics and ignore workload characteristics, since developing and tuning a
scheduling policy for each workload is infeasible. In this paper, we show that
modern machine learning techniques can generate highly-efficient policies
automatically. Decima uses reinforcement learning (RL) and neural networks to
learn workload-specific scheduling algorithms without any human instruction
beyond a high-level objective such as minimizing average job completion time.
Off-the-shelf RL techniques, however, cannot handle the complexity and scale of
the scheduling problem. To build Decima, we had to develop new representations
for jobs' dependency graphs, design scalable RL models, and invent RL training
methods for dealing with continuous stochastic job arrivals. Our prototype
integration with Spark on a 25-node cluster shows that Decima improves the
average job completion time over hand-tuned scheduling heuristics by at least
21%, achieving up to 2x improvement during periods of high cluster load
Variance reduction techniques for gradient estimates in reinforcement learning
Policy gradient methods for reinforcement learning avoid some of the undesirable properties of the value function approaches, such as policy degradation (Baxter and Bartlett, 2001). However, the variance of the performance gradient estimates obtained from the simulation is sometimes excessive. In this paper, we consider variance reduction methods that were developed for Monte Carlo estimates of integrals. We study two commonly used policy gradient techniques, the baseline and actor-critic methods, from this perspective. Both can be interpreted as additive control variate variance reduction methods. We consider the expected average reward performance measure, and we focus on the GPOMDP algorithm for estimating performance gradients in partially observable Markov decision processes controlled by stochastic reactive policies. We give bounds for the estimation error of the gradient estimates for both baseline and actor-critic algorithms, in terms of the sample size and mixing properties of the controlled system. For the baseline technique, we compute the optimal baseline, and show that the popular approach of using the average reward to define the baseline can be suboptimal. For actor-critic algorithms, we show that using the true value function as the critic can be suboptimal. We also discuss algorithms for estimating the optimal baseline and approximate value function
Abstract
We consider the use of two additive control variate methods to reduce the variance of performance gradient estimates in reinforcement learning problems. The first approach we consider is the baseline method, in which a function of the current state is added to the discounted value estimate. We relate the performance of these methods, which use sample paths, to the variance of estimates based on iid data. We derive the baseline function that minimizes this variance, and we show that the variance for any baseline is the sum of the optimal variance and a weighted squared distance to the optimal baseline. We show that the widely used average discounted value baseline (where the reward is replaced by the difference between the reward and its expectation) is suboptimal. The second approach we consider is the actor-critic method, which uses an approximate value function. We give bounds on the expected squared error of its estimates. We show that minimizing distance to the true value function is suboptimal in general; we provide an example for which th