Federated reinforcement learning (RL) enables collaborative decision making of multiple distributed agents without sharing local data trajectories. In this work, we consider a multi-task setting, in which each agent has its own private reward function corresponding to different tasks, while sharing the same transition kernel of the environment. Focusing on infinite-horizon tabular Markov decision processes, the goal is to learn a globally optimal policy that maximizes the sum of the discounted total rewards of all the agents in a decentralized manner, where each agent only communicates with its neighbors over some prescribed graph topology. We develop federated vanilla and entropy-regularized natural policy gradient (NPG) methods under softmax parameterization, where gradient tracking is applied to the global Q-function to mitigate the impact of imperfect information sharing. We establish non-asymptotic global convergence guarantees under exact policy evaluation, which are nearly independent of the size of the state-action space and illuminate the impacts of network size and connectivity. To the best of our knowledge, this is the first time that global convergence is established for federated multi-task RL using policy optimization. Moreover, the convergence behavior of the proposed algorithms is robust against inexactness of policy evaluation.

Diffusion models, which convert noise into new data instances by learning to reverse a Markov diffusion process, have become a cornerstone in contemporary generative modeling. While their practical power has now been widely recognized, the theoretical underpinnings remain far from mature. In this work, we develop a suite of non-asymptotic theory towards understanding the data generation process of diffusion models in discrete time, assuming access to $\ell_2$-accurate estimates of the (Stein) score functions. For a popular deterministic sampler (based on the probability flow ODE), we establish a convergence rate proportional to $1/T$ (with $T$ the total number of steps), improving upon past results; for another mainstream stochastic sampler (i.e., a type of the denoising diffusion probabilistic model), we derive a convergence rate proportional to $1/\sqrt{T}$, matching the state-of-the-art theory. Imposing only minimal assumptions on the target data distribution (e.g., no smoothness assumption is imposed), our results characterize how $\ell_2$ score estimation errors affect the quality of the data generation processes. In contrast to prior works, our theory is developed based on an elementary yet versatile non-asymptotic approach without resorting to toolboxes for SDEs and ODEs. Further, we design two accelerated variants, improving the convergence to $1/T^2$ for the ODE-based sampler and $1/T$ for the DDPM-type sampler, which might be of independent theoretical and empirical interest.

This paper is concerned with the problem of policy evaluation with linear function approximation in discounted infinite horizon Markov decision processes. We investigate the sample complexities required to guarantee a predefined estimation error of the best linear coefficients for two widely-used policy evaluation algorithms: the temporal difference (TD) learning algorithm and the two-timescale linear TD with gradient correction (TDC) algorithm. In both the on-policy setting, where observations are generated from the target policy, and the off-policy setting, where samples are drawn from a behavior policy potentially different from the target policy, we establish the first sample complexity bound with high-probability convergence guarantee that attains the optimal dependence on the tolerance level. We also exhihit an explicit dependence on problem-related quantities, and show in the on-policy setting that our upper bound matches the minimax lower bound on crucial problem parameters, including the choice of the feature maps and the problem dimension.

This paper investigates model robustness in reinforcement learning (RL) to reduce the sim-to-real gap in practice. We adopt the framework of distributionally robust Markov decision processes (RMDPs), aimed at learning a policy that optimizes the worst-case performance when the deployed environment falls within a prescribed uncertainty set around the nominal MDP. Despite recent efforts, the sample complexity of RMDPs remained mostly unsettled regardless of the uncertainty set in use. It was unclear if distributional robustness bears any statistical consequences when benchmarked against standard RL. Assuming access to a generative model that draws samples based on the nominal MDP, we characterize the sample complexity of RMDPs when the uncertainty set is specified via either the total variation (TV) distance or $\chi^2$ divergence. The algorithm studied here is a model-based method called {\em distributionally robust value iteration}, which is shown to be near-optimal for the full range of uncertainty levels. Somewhat surprisingly, our results uncover that RMDPs are not necessarily easier or harder to learn than standard MDPs. The statistical consequence incurred by the robustness requirement depends heavily on the size and shape of the uncertainty set: in the case w.r.t.~the TV distance, the minimax sample complexity of RMDPs is always smaller than that of standard MDPs; in the case w.r.t.~the $\chi^2$ divergence, the sample complexity of RMDPs can often far exceed the standard MDP counterpart.

Approximate message passing (AMP) emerges as an effective iterative paradigm for solving high-dimensional statistical problems. However, prior AMP theory -- which focused mostly on high-dimensional asymptotics -- fell short of predicting the AMP dynamics when the number of iterations surpasses $o\big(\frac{\log n}{\log\log n}\big)$ (with $n$ the problem dimension). To address this inadequacy, this paper develops a non-asymptotic framework for understanding AMP in spiked matrix estimation. Built upon new decomposition of AMP updates and controllable residual terms, we lay out an analysis recipe to characterize the finite-sample behavior of AMP in the presence of an independent initialization, which is further generalized to allow for spectral initialization. As two concrete consequences of the proposed analysis recipe: (i) when solving $\mathbb{Z}_2$ synchronization, we predict the behavior of spectrally initialized AMP for up to $O\big(\frac{n}{\mathrm{poly}\log n}\big)$ iterations, showing that the algorithm succeeds without the need of a subsequent refinement stage (as conjectured recently by \citet{celentano2021local}); (ii) we characterize the non-asymptotic behavior of AMP in sparse PCA (in the spiked Wigner model) for a broad range of signal-to-noise ratio.

This paper is concerned with offline reinforcement learning (RL), which learns using pre-collected data without further exploration. Effective offline RL would be able to accommodate distribution shift and limited data coverage. However, prior algorithms or analyses either suffer from suboptimal sample complexities or incur high burn-in cost to reach sample optimality, thus posing an impediment to efficient offline RL in sample-starved applications. We demonstrate that the model-based (or "plug-in") approach achieves minimax-optimal sample complexity without burn-in cost for tabular Markov decision processes (MDPs). Concretely, consider a finite-horizon (resp. $\gamma$-discounted infinite-horizon) MDP with $S$ states and horizon $H$ (resp. effective horizon $\frac{1}{1-\gamma}$), and suppose the distribution shift of data is reflected by some single-policy clipped concentrability coefficient $C^{\star}_{\text{clipped}}$. We prove that model-based offline RL yields $\varepsilon$-accuracy with a sample complexity of \[ \begin{cases} \frac{H^{4}SC_{\text{clipped}}^{\star}}{\varepsilon^{2}} & (\text{finite-horizon MDPs}) \frac{SC_{\text{clipped}}^{\star}}{(1-\gamma)^{3}\varepsilon^{2}} & (\text{infinite-horizon MDPs}) \end{cases} \] up to log factor, which is minimax optimal for the entire $\varepsilon$-range. The proposed algorithms are ``pessimistic'' variants of value iteration with Bernstein-style penalties, and do not require sophisticated variance reduction. Our analysis framework is established upon delicate leave-one-out decoupling arguments in conjunction with careful self-bounding techniques tailored to MDPs.

This paper is concerned with the problem of reconstructing an unknown rank-one matrix with prior structural information from noisy observations. While computing the Bayes-optimal estimator seems intractable in general due to its nonconvex nature, Approximate Message Passing (AMP) emerges as an efficient first-order method to approximate the Bayes-optimal estimator. However, the theoretical underpinnings of AMP remain largely unavailable when it starts from random initialization, a scheme of critical practical utility. Focusing on a prototypical model called $\mathbb{Z}_{2}$ synchronization, we characterize the finite-sample dynamics of AMP from random initialization, uncovering its rapid global convergence. Our theory provides the first non-asymptotic characterization of AMP in this model without requiring either an informative initialization (e.g., spectral initialization) or sample splitting.

This paper investigates the problem of computing the equilibrium of competitive games, which is often modeled as a constrained saddle-point optimization problem with probability simplex constraints. Despite recent efforts in understanding the last-iterate convergence of extragradient methods in the unconstrained setting, the theoretical underpinnings of these methods in the constrained settings, especially those using multiplicative updates, remain highly inadequate, even when the objective function is bilinear. Motivated by the algorithmic role of entropy regularization in single-agent reinforcement learning and game theory, we develop provably efficient extragradient methods to find the quantal response equilibrium (QRE) -- which are solutions to zero-sum two-player matrix games with entropy regularization -- at a linear rate. The proposed algorithms can be implemented in a decentralized manner, where each player executes symmetric and multiplicative updates iteratively using its own payoff without observing the opponent's actions directly. In addition, by controlling the knob of entropy regularization, the proposed algorithms can locate an approximate Nash equilibrium of the unregularized matrix game at a sublinear rate without assuming the Nash equilibrium to be unique. Our methods also lead to efficient policy extragradient algorithms for solving (entropy-regularized) zero-sum Markov games at similar rates. All of our convergence rates are nearly dimension-free, which are independent of the size of the state and action spaces up to logarithm factors, highlighting the positive role of entropy regularization for accelerating convergence.

Offline or batch reinforcement learning seeks to learn a near-optimal policy using history data without active exploration of the environment. To counter the insufficient coverage and sample scarcity of many offline datasets, the principle of pessimism has been recently introduced to mitigate high bias of the estimated values. While pessimistic variants of model-based algorithms (e.g., value iteration with lower confidence bounds) have been theoretically investigated, their model-free counterparts -- which do not require explicit model estimation -- have not been adequately studied, especially in terms of sample efficiency. To address this inadequacy, we study a pessimistic variant of Q-learning in the context of finite-horizon Markov decision processes, and characterize its sample complexity under the single-policy concentrability assumption which does not require the full coverage of the state-action space. In addition, a variance-reduced pessimistic Q-learning algorithm is proposed to achieve near-optimal sample complexity. Altogether, this work highlights the efficiency of model-free algorithms in offline RL when used in conjunction with pessimism and variance reduction.

Recent empirical and theoretical analyses of several commonly used prediction procedures reveal a peculiar risk behavior in high dimensions, referred to as double/multiple descent, in which the asymptotic risk is a non-monotonic function of the limiting aspect ratio of the number of features or parameters to the sample size. To mitigate this undesirable behavior, we develop a general framework for risk monotonization based on cross-validation that takes as input a generic prediction procedure and returns a modified procedure whose out-of-sample prediction risk is, asymptotically, monotonic in the limiting aspect ratio. As part of our framework, we propose two data-driven methodologies, namely zero- and one-step, that are akin to bagging and boosting, respectively, and show that, under very mild assumptions, they provably achieve monotonic asymptotic risk behavior. Our results are applicable to a broad variety of prediction procedures and loss functions, and do not require a well-specified (parametric) model. We exemplify our framework with concrete analyses of the minimum $\ell_2$, $\ell_1$-norm least squares prediction procedures. As one of the ingredients in our analysis, we also derive novel additive and multiplicative forms of oracle risk inequalities for split cross-validation that are of independent interest.