Stochastic Dimension-reduced Second-order Methods for Policy Optimization (2301.12174v1)

Abstract: In this paper, we propose several new stochastic second-order algorithms for policy optimization that only require gradient and Hessian-vector product in each iteration, making them computationally efficient and comparable to policy gradient methods. Specifically, we propose a dimension-reduced second-order method (DR-SOPO) which repeatedly solves a projected two-dimensional trust region subproblem. We show that DR-SOPO obtains an $\mathcal{O}(\epsilon^{-3.5})$ complexity for reaching approximate first-order stationary condition and certain subspace second-order stationary condition. In addition, we present an enhanced algorithm (DVR-SOPO) which further improves the complexity to $\mathcal{O}(\epsilon^{-3})$ based on the variance reduction technique. Preliminary experiments show that our proposed algorithms perform favorably compared with stochastic and variance-reduced policy gradient methods.