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Deep Bayesian Quadrature Policy Optimization

Ravi Tej, Akella and Azizzadenesheli, Kamyar and Ghavamzadeh, Mohammad and Anandkumar, Anima and Yue, Yisong (2020) Deep Bayesian Quadrature Policy Optimization. . (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20201106-120212166

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Abstract

We study the problem of obtaining accurate policy gradient estimates using a finite number of samples. Monte-Carlo methods have been the default choice for policy gradient estimation, despite suffering from high variance in the gradient estimates. On the other hand, more sample efficient alternatives like Bayesian quadrature methods are less scalable due to their high computational complexity. In this work, we propose deep Bayesian quadrature policy gradient (DBQPG), a computationally efficient high-dimensional generalization of Bayesian quadrature, for policy gradient estimation. We show that DBQPG can substitute Monte-Carlo estimation in policy gradient methods, and demonstrate its effectiveness on a set of continuous control benchmarks. In comparison to Monte-Carlo estimation, DBQPG provides (i) more accurate gradient estimates with a significantly lower variance, (ii) a consistent improvement in the sample complexity and average return for several deep policy gradient algorithms, and, (iii) the uncertainty in gradient estimation that can be incorporated to further improve the performance.


Item Type:Report or Paper (Discussion Paper)
Related URLs:
URLURL TypeDescription
http://arxiv.org/abs/2006.15637arXivDiscussion Paper
ORCID:
AuthorORCID
Azizzadenesheli, Kamyar0000-0001-8507-1868
Yue, Yisong0000-0001-9127-1989
Additional Information:K. Azizzadenesheli is supported in part by Raytheon and Amazon Web Service. A. Anandkumar is supported in part by Bren endowed chair, DARPA PAIHR00111890035 and LwLL grants, Raytheon, Microsoft, Google, and Adobe faculty fellowships.
Funders:
Funding AgencyGrant Number
Raytheon CompanyUNSPECIFIED
Amazon Web ServicesUNSPECIFIED
Bren Professor of Computing and Mathematical SciencesUNSPECIFIED
Defense Advanced Research Projects Agency (DARPA)HR00111890035
Learning with Less Labels (LwLL)UNSPECIFIED
Microsoft Faculty FellowshipUNSPECIFIED
Google Faculty Research AwardUNSPECIFIED
AdobeUNSPECIFIED
Record Number:CaltechAUTHORS:20201106-120212166
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20201106-120212166
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:106489
Collection:CaltechAUTHORS
Deposited By: George Porter
Deposited On:06 Nov 2020 22:36
Last Modified:06 Nov 2020 22:36

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