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Monday, December 7 • 19:00 - 23:59
Sample Complexity Bounds for Iterative Stochastic Policy Optimization

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This paper is concerned with robustness analysis of decision making under uncertainty. We consider a class of iterative stochastic policy optimization problems and analyze the resulting expected performance for each newly updated policy at each iteration. In particular, we employ concentration-of-measure inequalities to compute future expected cost and probability of constraint violation using empirical runs. A novel inequality bound is derived that accounts for the possibly unbounded change-of-measure likelihood ratio resulting from iterative policy adaptation. The bound serves as a high-confidence certificate for providing future performance or safety guarantees. The approach is illustrated with a simple robot control scenario and initial steps towards applications to challenging aerial vehicle navigation problems are presented.


Monday December 7, 2015 19:00 - 23:59
210 C #61

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