• Corpus ID: 246441963

Single Time-scale Actor-critic Method to Solve the Linear Quadratic Regulator with Convergence Guarantees

  title={Single Time-scale Actor-critic Method to Solve the Linear Quadratic Regulator with Convergence Guarantees},
  author={Mo Zhou and Jianfeng Lu},
We propose a single timescale actor-critic algorithm to solve the linear quadratic regulator (LQR) problem. A least squares temporal difference (LSTD) method is applied to the critic and a natural policy gradient method is used for the actor. We give a proof of convergence with sample complexity O ( ε − 1 log( ε − 1 ) 2 ) . The method in the proof is applicable to general single timescale bilevel optimization problems. We also numerically validate our theoretical results on the convergence. 

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