Analyzing the Variance of Policy Gradient Estimators for the Linear-Quadratic Regulator

2 Oct 2019James A. PreissSébastien M. R. ArnoldChen-Yu WeiMarius Kloft

We study the variance of the REINFORCE policy gradient estimator in environments with continuous state and action spaces, linear dynamics, quadratic cost, and Gaussian noise. These simple environments allow us to derive bounds on the estimator variance in terms of the environment and noise parameters... (read more)

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