Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems

Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for general continuous space-time stochastic control problems has been elusive. This paper closes the gap by proposing a proximal gradient algorithm for feedback controls of finite-time horizon stochastic control problems. The state dynamics are continuous time nonlinear diffusions with controlled drift and possibly degenerate noise, and the objectives are nonconvex in the state and nonsmooth in the control. We prove under suitable conditions that the algorithm converges linearly to a stationary point of the control problem, and is stable with respect to policy updates by approximate gradient steps. The convergence result justifies the recent reinforcement learning heuristics that adding entropy regularization to the optimization objective accelerates the convergence of policy gradient methods. The proof exploits careful regularity estimates of backward stochastic differential equations.