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SPIDER: Near-Optimal Non-Convex Optimization via Stochastic Path-Integrated Differential Estimator
Cong Fang, Chris Junchi Li, Zhouchen Lin, Tong Zhang
We provide a few error-bound results on its convergence rates. Specially, we prove that theSPIDER-SFO algorithm achieves a gradient computation cost of O min(n1/2 2, 3) to find an -approximate first-order stationary point. In addition, we prove thatSPIDER-SFO nearly matches the algorithmic lower bound for finding stationary point under the gradient Lipschitz assumption in the finite-sum setting.
Near-OptimalGoal-Oriented Reinforcement LearninginNon-StationaryEnvironments
The different roles of c and P in this lower bound inspire us to design algorithms that estimate costs and transitions separately. Specifically, assuming the knowledge of c and P, we develop a simple but sub-optimal algorithm and another more involved minimax optimal algorithm (up to logarithmic terms). These algorithms combine the ideas of finite-horizon approximation [Chen et al., 2022a], special Bernstein-style bonuses of the MVP algorithm[Zhangetal.,2020],adaptiveconfidencewidening[WeiandLuo,2021],as well as some new techniques such as properly penalizing long-horizon policies. Finally,when c and P are unknown, we develop avariant ofthe MASTER algorithm [Weiand Luo,2021]and integrate the aforementioned ideas into itto achieve O(min{B?S