Accelerating Value Iteration with Anchoring

Part of Advances in Neural Information Processing Systems 36 (NeurIPS 2023) Main Conference Track

Bibtex Paper Supplemental


Jongmin Lee, Ernest Ryu


Value Iteration (VI) is foundational to the theory and practice of modern reinforcement learning, and it is known to converge at a $\mathcal{O}(\gamma^k)$-rate. Surprisingly, however, the optimal rate for the VI setup was not known, and finding a general acceleration mechanism has been an open problem. In this paper, we present the first accelerated VI for both the Bellman consistency and optimality operators. Our method, called Anc-VI, is based on an \emph{anchoring} mechanism (distinct from Nesterov's acceleration), and it reduces the Bellman error faster than standard VI. In particular, Anc-VI exhibits a $\mathcal{O}(1/k)$-rate for $\gamma\approx 1$ or even $\gamma=1$, while standard VI has rate $\mathcal{O}(1)$ for $\gamma\ge 1-1/k$, where $k$ is the iteration count. We also provide a complexity lower bound matching the upper bound up to a constant factor of $4$, thereby establishing optimality of the accelerated rate of Anc-VI. Finally, we show that the anchoring mechanism provides the same benefit in the approximate VI and Gauss--Seidel VI setups as well.