Abstract
We consider the reinforcement learning (RL) problem with general utilities which consists in maximizing a function of the state-action occupancy measure. Beyond the standard cumulative reward RL setting, this problem includes as particular cases constrained RL, pure exploration and learning from demonstrations among others. For this problem, we propose a simpler single-loop parameter-free normalized policy gradient algorithm. Implementing a recursive momentum variance reduction mechanism, our algorithm achieves (O) over tilde(epsilon(-3)) and (O) over tilde(epsilon(-2)) sample complexities for epsilon-first-order stationarity and epsilon-global optimality respectively, under adequate assumptions. We further address the setting of large finite state action spaces via linear function approximation of the occupancy measure and show a (O) over tilde(epsilon(-4)) sample complexity for a simple policy gradient method with a linear regression subroutine.