Variance Penalized On-Policy and Off-Policy Actor-Critic

TL;DR

This paper introduces variance-penalized actor-critic algorithms that optimize both mean and variance of returns, ensuring more reliable policies with lower return variability in reinforcement learning tasks.

Contribution

It proposes a novel direct variance estimator and demonstrates convergence to locally optimal policies in finite MDPs, improving reliability in reinforcement learning.

Findings

Algorithms achieve lower return variance while maintaining expected return.

Converge to locally optimal policies in finite MDPs.

Effective in both tabular and continuous MuJoCo domains.

Abstract

Reinforcement learning algorithms are typically geared towards optimizing the expected return of an agent. However, in many practical applications, low variance in the return is desired to ensure the reliability of an algorithm. In this paper, we propose on-policy and off-policy actor-critic algorithms that optimize a performance criterion involving both mean and variance in the return. Previous work uses the second moment of return to estimate the variance indirectly. Instead, we use a much simpler recently proposed direct variance estimator which updates the estimates incrementally using temporal difference methods. Using the variance-penalized criterion, we guarantee the convergence of our algorithm to locally optimal policies for finite state action Markov decision processes. We demonstrate the utility of our algorithm in tabular and continuous MuJoCo domains. Our approach not only performs on par with actor-critic and prior variance-penalization baselines in terms of expected return, but also generates trajectories which have lower variance in the return.