A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit <a rel="external noopener" href="https://arxiv.org/pdf/2102.01985v1.pdf">the original URL</a>. The file type is <code>application/pdf</code>.
<span class="release-stage" >pre-print</span>
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<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2102.01985v1">arXiv:2102.01985v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/vhhxpyhsmrfzxj3qez4ar3qicm">fatcat:vhhxpyhsmrfzxj3qez4ar3qicm</a> </span>
more »... pler 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.
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