From Optimization to Control: Quasi Policy Iteration.

Recent control algorithms for Markov decision processes (MDPs) have been designed using an implicit analogy with well-established optimization algorithms. In this paper, we make this analogy explicit across four problem classes with a unified solution characterization. This novel framework, in turn, allows for a systematic transformation of algorithms from one domain to the other. In particular, we identify equivalent optimization and control algorithms that have already been pointed out in the existing literature, but mostly in a scattered way. With this unifying framework in mind, we then exploit two linear structural constraints specific to MDPs for approximating the Hessian in a second-order-type algorithm from optimization, namely, Anderson mixing. This leads to a novel first-order control algorithm that modifies the standard value iteration (VI) algorithm by incorporating two new directions and adaptive step sizes. While the proposed algorithm, coined as quasi-policy iteration, has the same computational complexity as VI, it interestingly exhibits an empirical convergence behavior similar to policy iteration with a very low sensitivity to the discount factor.