# Derivative-Free Policy Optimization for Linear Risk-Sensitive and Robust Control Design: Implicit Regularization and Sample Complexity

arXiv: https://arxiv.org/abs/2101.01041 · HTML: https://mlsanity.com/paper/2101.01041/

## Key facts

- Cited by 15 papers in the map (data through 14 Oct 2026).
- Builds on 40 of its 84 references that are in the map.
- First posted on arXiv 4 Jan 2021.

## Builds on (most cited first, 30 of 40)

- [Proximal Policy Optimization Algorithms](https://mlsanity.com/paper/1707.06347/) (2017)
- [Continuous control with deep reinforcement learning](https://mlsanity.com/paper/1509.02971/) (2015)
- [Trust Region Policy Optimization](https://mlsanity.com/paper/1502.05477/) (2015)
- [High-Dimensional Continuous Control Using Generalized Advantage Estimation](https://mlsanity.com/paper/1506.02438/) (2015)
- [Multi-Agent Reinforcement Learning: A Selective Overview of Theories and Algorithms](https://mlsanity.com/paper/1911.10635/) (2019)
- [Robust Adversarial Reinforcement Learning](https://mlsanity.com/paper/1703.02702/) (2017)
- [On Gradient Descent Ascent for Nonconvex-Concave Minimax Problems](https://mlsanity.com/paper/1906.00331/) (2019)
- [Global Convergence of Policy Gradient Methods for the Linear Quadratic Regulator](https://mlsanity.com/paper/1801.05039/) (2018)
- [On the Sample Complexity of the Linear Quadratic Regulator](https://mlsanity.com/paper/1710.01688/) (2017)
- [A Tour of Reinforcement Learning: The View from Continuous Control](https://mlsanity.com/paper/1806.09460/) (2018)
- [Solving a Class of Non-Convex Min-Max Games Using Iterative First Order Methods](https://mlsanity.com/paper/1902.08297/) (2019)
- [Global Convergence of Policy Gradient Methods to (Almost) Locally Optimal Policies](https://mlsanity.com/paper/1906.08383/) (2019)
- [Naive Exploration is Optimal for Online LQR](https://mlsanity.com/paper/2001.09576/) (2020)
- [The Limit Points of (Optimistic) Gradient Descent in Min-Max Optimization](https://mlsanity.com/paper/1807.03907/) (2018)
- [Efficient Methods for Structured Nonconvex-Nonconcave Min-Max Optimization](https://mlsanity.com/paper/2011.00364/) (2020)
- [Model-Based Multi-Agent RL in Zero-Sum Markov Games with Near-Optimal Sample Complexity](https://mlsanity.com/paper/2007.07461/) (2020)
- [The Complexity of Constrained Min-Max Optimization](https://mlsanity.com/paper/2009.09623/) (2020)
- [Robust Reinforcement Learning for Continuous Control with Model Misspecification](https://mlsanity.com/paper/1906.07516/) (2019)
- [Derivative-Free Methods for Policy Optimization: Guarantees for Linear Quadratic Systems](https://mlsanity.com/paper/1812.08305/) (2018)
- [Risk-Sensitive Reinforcement Learning: Near-Optimal Risk-Sample Tradeoff in Regret](https://mlsanity.com/paper/2006.13827/) (2020)
- [Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon](https://mlsanity.com/paper/2011.10300/) (2020)
- [Finding Mixed Nash Equilibria of Generative Adversarial Networks](https://mlsanity.com/paper/1811.02002/) (2018)
- [Policy Optimization for H2 Linear Control with H_∞ Robustness Guarantee: Implicit Regularization and Global Convergence](https://mlsanity.com/paper/1910.09496/) (2019)
- [Convergence and sample complexity of gradient methods for the model-free linear quadratic regulator problem](https://mlsanity.com/paper/1912.11899/) (2019)
- [Policy Optimization Provably Converges to Nash Equilibria in Zero-Sum Linear Quadratic Games](https://mlsanity.com/paper/1906.00729/) (2019)
- [The Gap Between Model-Based and Model-Free Methods on the Linear Quadratic Regulator: An Asymptotic Viewpoint](https://mlsanity.com/paper/1812.03565/) (2018)
- [LQR through the Lens of First Order Methods: Discrete-time Case](https://mlsanity.com/paper/1907.08921/) (2019)
- [Distributed Reinforcement Learning for Decentralized Linear Quadratic Control: A Derivative-Free Policy Optimization Approach](https://mlsanity.com/paper/1912.09135/) (2019)
- [Global Convergence and Variance-Reduced Optimization for a Class of Nonconvex-Nonconcave Minimax Problems](https://mlsanity.com/paper/2002.09621/) (2020)
- [Optimizing Static Linear Feedback: Gradient Method](https://mlsanity.com/paper/2004.09875/) (2020)

## Built on by (most cited first, 15 of 15)

- [Robust Policy Gradient against Strong Data Corruption](https://mlsanity.com/paper/2102.05800/) (2021)
- [The Confluence of Networks, Games and Learning](https://mlsanity.com/paper/2105.08158/) (2021)
- [Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games](https://mlsanity.com/paper/2107.13090/) (2021)
- [Stabilizing Dynamical Systems via Policy Gradient Methods](https://mlsanity.com/paper/2110.06418/) (2021)
- [On Imitation Learning of Linear Control Policies: Enforcing Stability and Robustness Constraints via LMI Conditions](https://mlsanity.com/paper/2103.12945/) (2021)
- [Revisiting LQR Control from the Perspective of Receding-Horizon Policy Gradient](https://mlsanity.com/paper/2302.13144/) (2023)
- [Learning the Kalman Filter with Fine-Grained Sample Complexity](https://mlsanity.com/paper/2301.12624/) (2023)
- [Beyond Stationarity: Convergence Analysis of Stochastic Softmax Policy Gradient Methods](https://mlsanity.com/paper/2310.02671/) (2023)
- [Theoretical Guarantees of Fictitious Discount Algorithms for Episodic Reinforcement Learning and Global Convergence of Policy Gradient Methods](https://mlsanity.com/paper/2109.06362/) (2021)
- [Towards a Theoretical Foundation of Policy Optimization for Learning Control Policies](https://mlsanity.com/paper/2210.04810/) (2022)
- [Model-Free μ Synthesis via Adversarial Reinforcement Learning](https://mlsanity.com/paper/2111.15537/) (2021)
- [Learning Zero-Sum Linear Quadratic Games with Improved Sample Complexity and Last-Iterate Convergence](https://mlsanity.com/paper/2309.04272/) (2023)
- [Global Convergence of Receding-Horizon Policy Search in Learning Estimator Designs](https://mlsanity.com/paper/2309.04831/) (2023)
- [Revisiting PGD Attacks for Stability Analysis of Large-Scale Nonlinear Systems and Perception-Based Control](https://mlsanity.com/paper/2201.00801/) (2022)
- [Model-Free μ-Synthesis: A Nonsmooth Optimization Perspective](https://mlsanity.com/paper/2402.11654/) (2024)

## Abstract (arXiv)

Direct policy search serves as one of the workhorses in modern reinforcement learning (RL), and its applications in continuous control tasks have recently attracted increasing attention. In this work, we investigate the convergence theory of policy gradient (PG) methods for learning the linear risk-sensitive and robust controller. In particular, we develop PG methods that can be implemented in a derivative-free fashion by sampling system trajectories, and establish both global convergence and sample complexity results in the solutions of two fundamental settings in risk-sensitive and robust control: the finite-horizon linear exponential quadratic Gaussian, and the finite-horizon linear-quadratic disturbance attenuation problems. As a by-product, our results also provide the first sample complexity for the global convergence of PG methods on solving zero-sum linear-quadratic dynamic games, a nonconvex-nonconcave minimax optimization problem that serves as a baseline setting in multi-agent reinforcement learning (MARL) with continuous spaces. One feature of our algorithms is that during the learning phase, a certain level of robustness/risk-sensitivity of the controller is preserved, which we termed as the implicit regularization property, and is an essential requirement in safety-critical control systems.