Reinforcement Learning via Fenchel-Rockafellar Duality

Understand

We review basic concepts of convex duality, focusing on the very general and supremely useful Fenchel-Rockafellar duality.

• We summarize how this duality may be applied to a variety of reinforcement learning (RL) settings, including policy evaluation or optimization, online or offline learning, and discounted or undiscounted rewards.
• The derivations yield a number of intriguing results, including the ability to perform policy evaluation and on-policy policy gradient with behavior-agnostic offline data and methods to learn a policy via max-likelihood optimization.
• Although many of these results have appeared previously in various forms, we provide a unified treatment and perspective on these results, which we hope will enable researchers to better use and apply the tools of convex duality to make further progress in RL.