Part of Advances in Neural Information Processing Systems 25 (NIPS 2012)
Thomas Furmston, David Barber
Parametric policy search algorithms are one of the methods of choice for the optimisation of Markov Decision Processes, with Expectation Maximisation and natural gradient ascent being considered the current state of the art in the field. In this article we provide a unifying perspective of these two algorithms by showing that their step-directions in the parameter space are closely related to the search direction of an approximate Newton method. This analysis leads naturally to the consideration of this approximate Newton method as an alternative gradient-based method for Markov Decision Processes. We are able show that the algorithm has numerous desirable properties, absent in the naive application of Newton's method, that make it a viable alternative to either Expectation Maximisation or natural gradient ascent. Empirical results suggest that the algorithm has excellent convergence and robustness properties, performing strongly in comparison to both Expectation Maximisation and natural gradient ascent.