Rylan Schaeffer

Kernel Papers

Policy Gradient Theorem

The Policy Gradient (PG) Theorem is the mathematical machinery of policy-based and actor-critic reinforcement learning agents. It provides a mechanism for an agent to directly optimize its policy without learning a state-action value function.


Define an agent’s trajectory as the sequence of states, actions and rewards the agent experiences:

\[\tau := (s_1, a_1, r_1, s_2, a_2, r_2, ...)\]

We assume that the agent’s policy \(p_{\theta}(a|s)\) depends on parameters \(\theta\). The metric by which we judge the success of the agent is the expected return it obtains, averaging over all possible trajectories:

\[\begin{align} \mathbb{E}_{\tau \sim p_{\theta}}[R(\tau)] = \int_{\tau} R(\tau) p_{\theta}(\tau) d\tau \end{align}\]

The agent’s goal is to maximize its expected return. To do this, it can compute the gradient of its expected return to then perform gradient ascent.

\[\begin{align} \nabla_{\theta} \mathbb{E}_{\tau \sim p_{\theta}}[R(\tau)] &= \nabla_{\theta} \int_{\tau} R(\tau) p_{\theta}(\tau) d\tau \nonumber \\ &= \int_{\tau} R(\tau) \nabla_{\theta} p_{\theta}(\tau) d\tau \nonumber \\ &= \int_{\tau} R(\tau) p_{\theta}(\tau) \nabla_{\theta} \log p_{\theta}(\tau) d\tau \nonumber \\ &= \mathbb{E}_{\tau \sim p_{\theta}}[R(\tau) \nabla_{\theta} \log p_{\theta}(\tau)] \end{align}\]

The probability of a trajectory \(\tau\) does depend on the environment’s transition and reward functions, but critically, the gradient of the log probability does not:

\[\begin{align} p_{\theta}(\tau) &= p(s_1) p_{\theta}(a_1|s_1) p(r_1, s_2|s_1, a_1) p_{\theta}(a_2|s_2)...\\ &= p(s_1) \prod_t p(r_{t}, s_{t+1}|s_t, a_t) p_{\theta}(a_t|s_t)\\ \nabla_{\theta} \log p_{\theta}(\tau) &= \nabla_{\theta} \log p(s_1) \prod_t p(r_{t}, s_{t+1}|s_t, a_t) p_{\theta}(a_t|s_t)\\ &= \sum_t \nabla_{\theta} \log p_{\theta}(a_t | s_t) \end{align}\]

This means that the agent does not need to know the transition function or reward function in order to improve its policy - this is an amazing result. Plugging back in, we obtain the so-called policy gradient theorem:

\[\begin{equation} \nabla_{\theta} \mathbb{E}_{\tau \sim p_{\theta}}[R(\tau)] = \mathbb{E}_{\tau \sim p_{\theta}} \Bigg[ R(\tau) \nabla_{\theta} \sum_t \nabla_{\theta} \log p_{\theta}(a_t | s_t) \Bigg] \end{equation}\]

In practice, because the distribution over trajectories is almost never known, we approximate the right-hand side expectation with a Monte Carlo estimate:

\[\nabla_{\theta} \mathbb{E}_{\tau \sim p_{\theta}}[R(\tau)] \approx \frac{1}{N}\sum_{n} R(\tau^{(n)}) \sum_t \nabla_{\theta} \log p_{\theta}(a_t^{(n)}| s_t^{(n)})\]

Vanilla Policy Gradient Algorithm

Improved Policy Gradient Algorithms

See Improved policy gradient estimators.