Last-Iterate Convergence for Constrained MDPs: From Dual Descent to Primal-Dual
Organizations: Simon Fraser University · Canada CIFAR AI Chair, Amii, Simon Fraser University
Abstract
We study policy optimization for infinite-horizon, discounted constrained Markov decision processes. While primal-dual () methods are widely used in practice, their theoretical guarantees typically hold for an impractical mixture policy. In contrast, dual descent () methods output a single policy ("last iterate") with guarantees on its performance. However, such methods require iteratively solving entropy-regularized MDPs in an inner-loop, limiting their practical effectiveness. Moreover, existing analyses rely on strong coverage assumptions that are difficult to satisfy in practice. Consequently, we first provide a new analysis of methods that does not require coverage assumptions. We then employ entropy-regularized natural policy gradient and dual regularization to eliminate the inner loop, resulting in an efficient algorithm. We develop a novel tracking analysis which shows that, compared to existing methods, the proposed algorithm achieves improved last-iterate convergence guarantees. Furthermore, our theoretical framework allows us to analyze a truncated bilevel method that interpolates between and methods. Finally, we generalize our analysis to handle linear function approximation. Compared to prior last-iterate methods, we prove stronger guarantees under less restrictive assumptions.
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Supplementary material from the paper’s appendix.
Appendix
| Number of Inner-Iterations Using NPG | |||
|---|---|---|---|
| Dual Objective | |||
| Smooth | [ Theorem 1 ] | [ Theorem 5 ] | [ Theorem 6 ] |
| Smooth + -regularized | [ Theorem 2 ] | [ Theorem 3 ] | [ Theorem 4 ] |
| Method | Fixed Params. | Grid Search Space |
|---|---|---|
| DD (K=1) | , , , | Dual step-size ( : |
| Warm-up iterations=50 | ||
| PQA-ALM | , , | Primal step-size: |
| RPG-PD [ Ding et al., 2023 ] | Entropy Coefficient | |
| Primal step-size: | ||
| Dual step-size: |
Last-Iterate Convergence
Last-iterate convergence studies whether an algorithm’s final update approaches an optimizer or equilibrium, rather than only its average.
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