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Poster

On the Convergence of the Monte Carlo Exploring Starts Algorithm for Reinforcement Learning

Che Wang · Shuhan Yuan · Kai Shao · Keith Ross

Keywords: [ reinforcement learning ]


Abstract:

A simple and natural algorithm for reinforcement learning (RL) is Monte Carlo Exploring Starts (MCES), where the Q-function is estimated by averaging the Monte Carlo returns, and the policy is improved by choosing actions that maximize the current estimate of the Q-function. Exploration is performed by "exploring starts", that is, each episode begins with a randomly chosen state and action, and then follows the current policy to the terminal state. In the classic book on RL by Sutton & Barto (2018), it is stated that establishing convergence for the MCES algorithm is one of the most important remaining open theoretical problems in RL. However, the convergence question for MCES turns out to be quite nuanced. Bertsekas & Tsitsiklis (1996) provide a counter-example showing that the MCES algorithm does not necessarily converge. Tsitsiklis (2002) further shows that if the original MCES algorithm is modified so that the Q-function estimates are updated at the same rate for all state-action pairs, and the discount factor is strictly less than one, then the MCES algorithm converges. In this paper we make headway with the original and more efficient MCES algorithm given in Sutton et al. (1998), establishing almost sure convergence for Optimal Policy Feed-Forward MDPs, which are MDPs whose states are not revisited within any episode when using an optimal policy. Such MDPs include a large class of environments such as all deterministic environments and all episodic environments with a timestep or any monotonically changing values as part of the state. Different from the previous proofs using stochastic approximations, we introduce a novel inductive approach, which is very simple and only makes use of the strong law of large numbers.

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