How to Rein in the Volatile Actor: A New Bounded Perspective

Actor-critic algorithms are amongst the most well-studied reinforcement learning algorithms that can be used to solve Markov decision processes (MDPs) via simulation. Unfortunately, the parameters of the so-called “actor” in the classical actor-critic algorithm exhibit great volatility — getting unbounded in practice, whence they have to be artificially constrained to obtain solutions in practice. The algorithm is often used in conjunction with Boltzmann action selection, where one may have to use a temperature to get the algorithm to work, but the convergence of the algorithm has only been proved when the temperature equals 1. We propose a new actor-critic algorithm whose actor’s parameters are bounded. We present a mathematical proof of the boundedness and test our algorithm on small-scale MDPs for infinite horizon discounted reward. Our algorithm produces encouraging numerical results.