DASA: Delay-Adaptive Multi-Agent Stochastic Approximation

We consider a setting in which $N$ agents aim to speedup a common Stochastic Approximation (SA) problem by acting in parallel and communicating with a central server. We assume that the up-link transmissions to the server are subject to asynchronous and potentially unbounded time-varying delays. To mitigate the effect of delays and stragglers while reaping the benefits of distributed computation, we propose \texttt{DASA}, a Delay-Adaptive algorithm for multi-agent Stochastic Approximation. We provide a finite-time analysis of \texttt{DASA} assuming that the agents' stochastic observation processes are independent Markov chains. Significantly advancing existing results, \texttt{DASA} is the first algorithm whose convergence rate depends only on the mixing time $\tau_{mix}$ and on the average delay $\tau_{avg}$ while jointly achieving an $N$-fold convergence speedup under Markovian sampling. Our work is relevant for various SA applications, including multi-agent and distributed temporal difference (TD) learning, Q-learning and stochastic optimization with correlated data.

A Simple Finite-Time Analysis of TD Learning with Linear Function Approximation

We study the finite-time convergence of TD learning with linear function approximation under Markovian sampling. Existing proofs for this setting either assume a projection step in the algorithm to simplify the analysis, or require a fairly intricate argument to ensure stability of the iterates. We ask: \textit{Is it possible to retain the simplicity of a projection-based analysis without actually performing a projection step in the algorithm?} Our main contribution is to show this is possible via a novel two-step argument. In the first step, we use induction to prove that under a standard choice of a constant step-size $\alpha$, the iterates generated by TD learning remain uniformly bounded in expectation. In the second step, we establish a recursion that mimics the steady-state dynamics of TD learning up to a bounded perturbation on the order of $O(\alpha^2)$ that captures the effect of Markovian sampling. Combining these pieces leads to an overall approach that considerably simplifies existing proofs. We conjecture that our inductive proof technique will find applications in the analyses of more complex stochastic approximation algorithms, and conclude by providing some examples of such applications.

Stochastic Approximation with Delayed Updates: Finite-Time Rates under Markovian Sampling

Motivated by applications in large-scale and multi-agent reinforcement learning, we study the non-asymptotic performance of stochastic approximation (SA) schemes with delayed updates under Markovian sampling. While the effect of delays has been extensively studied for optimization, the manner in which they interact with the underlying Markov process to shape the finite-time performance of SA remains poorly understood. In this context, our first main contribution is to show that under time-varying bounded delays, the delayed SA update rule guarantees exponentially fast convergence of the \emph{last iterate} to a ball around the SA operator's fixed point. Notably, our bound is \emph{tight} in its dependence on both the maximum delay $\tau_{max}$, and the mixing time $\tau_{mix}$. To achieve this tight bound, we develop a novel inductive proof technique that, unlike various existing delayed-optimization analyses, relies on establishing uniform boundedness of the iterates. As such, our proof may be of independent interest. Next, to mitigate the impact of the maximum delay on the convergence rate, we provide the first finite-time analysis of a delay-adaptive SA scheme under Markovian sampling. In particular, we show that the exponent of convergence of this scheme gets scaled down by $\tau_{avg}$, as opposed to $\tau_{max}$ for the vanilla delayed SA rule; here, $\tau_{avg}$ denotes the average delay across all iterations. Moreover, the adaptive scheme requires no prior knowledge of the delay sequence for step-size tuning. Our theoretical findings shed light on the finite-time effects of delays for a broad class of algorithms, including TD learning, Q-learning, and stochastic gradient descent under Markovian sampling.

Finite-Time Analysis of On-Policy Heterogeneous Federated Reinforcement Learning

Federated reinforcement learning (FRL) has emerged as a promising paradigm for reducing the sample complexity of reinforcement learning tasks by exploiting information from different agents. However, when each agent interacts with a potentially different environment, little to nothing is known theoretically about the non-asymptotic performance of FRL algorithms. The lack of such results can be attributed to various technical challenges and their intricate interplay: Markovian sampling, linear function approximation, multiple local updates to save communication, heterogeneity in the reward functions and transition kernels of the agents' MDPs, and continuous state-action spaces. Moreover, in the on-policy setting, the behavior policies vary with time, further complicating the analysis. In response, we introduce FedSARSA, a novel federated on-policy reinforcement learning scheme, equipped with linear function approximation, to address these challenges and provide a comprehensive finite-time error analysis. Notably, we establish that FedSARSA converges to a policy that is near-optimal for all agents, with the extent of near-optimality proportional to the level of heterogeneity. Furthermore, we prove that FedSARSA leverages agent collaboration to enable linear speedups as the number of agents increases, which holds for both fixed and adaptive step-size configurations.

Towards Model-Free LQR Control over Rate-Limited Channels

Given the success of model-free methods for control design in many problem settings, it is natural to ask how things will change if realistic communication channels are utilized for the transmission of gradients or policies. While the resulting problem has analogies with the formulations studied under the rubric of networked control systems, the rich literature in that area has typically assumed that the model of the system is known. As a step towards bridging the fields of model-free control design and networked control systems, we ask: \textit{Is it possible to solve basic control problems - such as the linear quadratic regulator (LQR) problem - in a model-free manner over a rate-limited channel?} Toward answering this question, we study a setting where a worker agent transmits quantized policy gradients (of the LQR cost) to a server over a noiseless channel with a finite bit-rate. We propose a new algorithm titled Adaptively Quantized Gradient Descent (\texttt{AQGD}), and prove that above a certain finite threshold bit-rate, \texttt{AQGD} guarantees exponentially fast convergence to the globally optimal policy, with \textit{no deterioration of the exponent relative to the unquantized setting}. More generally, our approach reveals the benefits of adaptive quantization in preserving fast linear convergence rates, and, as such, may be of independent interest to the literature on compressed optimization.

Min-Max Optimization under Delays

Delays and asynchrony are inevitable in large-scale machine-learning problems where communication plays a key role. As such, several works have extensively analyzed stochastic optimization with delayed gradients. However, as far as we are aware, no analogous theory is available for min-max optimization, a topic that has gained recent popularity due to applications in adversarial robustness, game theory, and reinforcement learning. Motivated by this gap, we examine the performance of standard min-max optimization algorithms with delayed gradient updates. First, we show (empirically) that even small delays can cause prominent algorithms like Extra-gradient (\texttt{EG}) to diverge on simple instances for which \texttt{EG} guarantees convergence in the absence of delays. Our empirical study thus suggests the need for a careful analysis of delayed versions of min-max optimization algorithms. Accordingly, under suitable technical assumptions, we prove that Gradient Descent-Ascent (\texttt{GDA}) and \texttt{EG} with delayed updates continue to guarantee convergence to saddle points for convex-concave and strongly convex-strongly concave settings. Our complexity bounds reveal, in a transparent manner, the slow-down in convergence caused by delays.

Federated TD Learning over Finite-Rate Erasure Channels: Linear Speedup under Markovian Sampling

Federated learning (FL) has recently gained much attention due to its effectiveness in speeding up supervised learning tasks under communication and privacy constraints. However, whether similar speedups can be established for reinforcement learning remains much less understood theoretically. Towards this direction, we study a federated policy evaluation problem where agents communicate via a central aggregator to expedite the evaluation of a common policy. To capture typical communication constraints in FL, we consider finite capacity up-link channels that can drop packets based on a Bernoulli erasure model. Given this setting, we propose and analyze QFedTD - a quantized federated temporal difference learning algorithm with linear function approximation. Our main technical contribution is to provide a finite-sample analysis of QFedTD that (i) highlights the effect of quantization and erasures on the convergence rate; and (ii) establishes a linear speedup w.r.t. the number of agents under Markovian sampling. Notably, while different quantization mechanisms and packet drop models have been extensively studied in the federated learning, distributed optimization, and networked control systems literature, our work is the first to provide a non-asymptotic analysis of their effects in multi-agent and federated reinforcement learning.

Federated Temporal Difference Learning with Linear Function Approximation under Environmental Heterogeneity

We initiate the study of federated reinforcement learning under environmental heterogeneity by considering a policy evaluation problem. Our setup involves $N$ agents interacting with environments that share the same state and action space but differ in their reward functions and state transition kernels. Assuming agents can communicate via a central server, we ask: Does exchanging information expedite the process of evaluating a common policy? To answer this question, we provide the first comprehensive finite-time analysis of a federated temporal difference (TD) learning algorithm with linear function approximation, while accounting for Markovian sampling, heterogeneity in the agents' environments, and multiple local updates to save communication. Our analysis crucially relies on several novel ingredients: (i) deriving perturbation bounds on TD fixed points as a function of the heterogeneity in the agents' underlying Markov decision processes (MDPs); (ii) introducing a virtual MDP to closely approximate the dynamics of the federated TD algorithm; and (iii) using the virtual MDP to make explicit connections to federated optimization. Putting these pieces together, we rigorously prove that in a low-heterogeneity regime, exchanging model estimates leads to linear convergence speedups in the number of agents.

Temporal Difference Learning with Compressed Updates: Error-Feedback meets Reinforcement Learning

In large-scale machine learning, recent works have studied the effects of compressing gradients in stochastic optimization in order to alleviate the communication bottleneck. These works have collectively revealed that stochastic gradient descent (SGD) is robust to structured perturbations such as quantization, sparsification, and delays. Perhaps surprisingly, despite the surge of interest in large-scale, multi-agent reinforcement learning, almost nothing is known about the analogous question: Are common reinforcement learning (RL) algorithms also robust to similar perturbations? In this paper, we investigate this question by studying a variant of the classical temporal difference (TD) learning algorithm with a perturbed update direction, where a general compression operator is used to model the perturbation. Our main technical contribution is to show that compressed TD algorithms, coupled with an error-feedback mechanism used widely in optimization, exhibit the same non-asymptotic theoretical guarantees as their SGD counterparts. We then extend our results significantly to nonlinear stochastic approximation algorithms and multi-agent settings. In particular, we prove that for multi-agent TD learning, one can achieve linear convergence speedups in the number of agents while communicating just $\tilde{O}(1)$ bits per agent at each time step. Our work is the first to provide finite-time results in RL that account for general compression operators and error-feedback in tandem with linear function approximation and Markovian sampling. Our analysis hinges on studying the drift of a novel Lyapunov function that captures the dynamics of a memory variable introduced by error feedback.

Collaborative Linear Bandits with Adversarial Agents: Near-Optimal Regret Bounds

We consider a linear stochastic bandit problem involving $M$ agents that can collaborate via a central server to minimize regret. A fraction $\alpha$ of these agents are adversarial and can act arbitrarily, leading to the following tension: while collaboration can potentially reduce regret, it can also disrupt the process of learning due to adversaries. In this work, we provide a fundamental understanding of this tension by designing new algorithms that balance the exploration-exploitation trade-off via carefully constructed robust confidence intervals. We also complement our algorithms with tight analyses. First, we develop a robust collaborative phased elimination algorithm that achieves $\tilde{O}\left(\alpha+ 1/\sqrt{M}\right) \sqrt{dT}$ regret for each good agent; here, $d$ is the model-dimension and $T$ is the horizon. For small $\alpha$, our result thus reveals a clear benefit of collaboration despite adversaries. Using an information-theoretic argument, we then prove a matching lower bound, thereby providing the first set of tight, near-optimal regret bounds for collaborative linear bandits with adversaries. Furthermore, by leveraging recent advances in high-dimensional robust statistics, we significantly extend our algorithmic ideas and results to (i) the generalized linear bandit model that allows for non-linear observation maps; and (ii) the contextual bandit setting that allows for time-varying feature vectors.