A Better Baseline for Second Order Gradient Estimation in Stochastic Computation Graphs

Sep 27, 2018 ICLR 2019 Conference Blind Submission readers: everyone Show Bibtex
  • Abstract: Motivated by the need for higher order gradients in multi-agent reinforcement learning and meta-learning, this paper studies the construction of baselines for second order Monte Carlo gradient estimators in order to reduce the sample variance. Following the construction of a stochastic computation graph (SCG), the Infinitely Differentiable Monte-Carlo Estimator (DiCE) can generate correct estimates of arbitrary order gradients through differentiation. However, a baseline term that serves as a control variate for reducing variance is currently provided only for first order gradient estimation, limiting the utility of higher-order gradient estimates. To improve the sample efficiency of DiCE, we propose a new baseline term for higher order gradient estimation. This term may be easily included in the objective, and produces unbiased variance-reduced estimators under (automatic) differentiation, without affecting the estimate of the objective itself or of the first order gradient. We provide theoretical analysis and numerical evaluations of our baseline term, which demonstrate that it can dramatically reduce the variance of second order gradient estimators produced by DiCE. This computational tool can be easily used to estimate second order gradients with unprecedented efficiency wherever automatic differentiation is utilised, and has the potential to unlock applications of higher order gradients in reinforcement learning and meta-learning.
  • Keywords: Reinforcement learning, meta-learning, higher order derivatives, gradient estimation, stochastic computation graphs
  • TL;DR: We extend the DiCE formalism of higher order gradient estimation with a new baseline for variance reduction of second order derivatives, improving sample efficiency by two orders of magnitude.
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