Single Time-scale Actor-critic Method to Solve the Linear Quadratic Regulator with Convergence Guarantees

• URL: http://arxiv.org/abs/2202.00048v1
• Date: Mon, 31 Jan 2022 19:20:40 GMT
• Title: Single Time-scale Actor-critic Method to Solve the Linear Quadratic Regulator with Convergence Guarantees
• Authors: Mo Zhou, Jianfeng Lu
• Abstract summary: We propose a single time-scale actor-critic algorithm to solve the linear quadratic regulator (LQR) problem. A least squares temporal difference (LSTD) method is applied to the critic and a natural policy gradient method is used for the actor.
• Score: 12.884132885360907
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We propose a single time-scale actor-critic algorithm to solve the linear quadratic regulator (LQR) problem. A least squares temporal difference (LSTD) method is applied to the critic and a natural policy gradient method is used for the actor. We give a proof of convergence with sample complexity $\mO(\ve^{-1} \log(\ve^{-1})^2)$. The method in the proof is applicable to general single time-scale bilevel optimization problem. We also numerically validate our theoretical results on the convergence.

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