Stochastic Dimension-reduced Second-order Methods for Policy Optimization
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In this paper, we propose several new stochastic second-order algorithms for policy optimization that only require gradient and Hessian-vector product in each iteration, making them computationally efficient and comparable to policy gradient methods. Specifically, we propose a dimension-reduced second-order method (DR-SOPO) which repeatedly solves a projected two-dimensional trust region subproblem. We show that DR-SOPO obtains an 𝒪(ϵ^-3.5) complexity for reaching approximate first-order stationary condition and certain subspace second-order stationary condition. In addition, we present an enhanced algorithm (DVR-SOPO) which further improves the complexity to 𝒪(ϵ^-3) based on the variance reduction technique. Preliminary experiments show that our proposed algorithms perform favorably compared with stochastic and variance-reduced policy gradient methods.
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