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Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms

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  • Yanwei Jia
  • Xun Yu Zhou

Abstract

We study policy gradient (PG) for reinforcement learning in continuous time and space under the regularized exploratory formulation developed by Wang et al. (2020). We represent the gradient of the value function with respect to a given parameterized stochastic policy as the expected integration of an auxiliary running reward function that can be evaluated using samples and the current value function. This effectively turns PG into a policy evaluation (PE) problem, enabling us to apply the martingale approach recently developed by Jia and Zhou (2021) for PE to solve our PG problem. Based on this analysis, we propose two types of the actor-critic algorithms for RL, where we learn and update value functions and policies simultaneously and alternatingly. The first type is based directly on the aforementioned representation which involves future trajectories and hence is offline. The second type, designed for online learning, employs the first-order condition of the policy gradient and turns it into martingale orthogonality conditions. These conditions are then incorporated using stochastic approximation when updating policies. Finally, we demonstrate the algorithms by simulations in two concrete examples.

Suggested Citation

  • Yanwei Jia & Xun Yu Zhou, 2021. "Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms," Papers 2111.11232, arXiv.org, revised Jul 2022.
  • Handle: RePEc:arx:papers:2111.11232
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    References listed on IDEAS

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    5. David Silver & Julian Schrittwieser & Karen Simonyan & Ioannis Antonoglou & Aja Huang & Arthur Guez & Thomas Hubert & Lucas Baker & Matthew Lai & Adrian Bolton & Yutian Chen & Timothy Lillicrap & Fan , 2017. "Mastering the game of Go without human knowledge," Nature, Nature, vol. 550(7676), pages 354-359, October.
    6. Yanwei Jia & Xun Yu Zhou, 2021. "Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach," Papers 2108.06655, arXiv.org, revised Feb 2022.
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    Cited by:

    1. Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
    2. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
    3. Zhou Fang & Haiqing Xu, 2023. "Market Making of Options via Reinforcement Learning," Papers 2307.01814, arXiv.org.
    4. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
    5. Yanwei Jia & Xun Yu Zhou, 2022. "q-Learning in Continuous Time," Papers 2207.00713, arXiv.org, revised Apr 2023.

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