Last-Iterate Convergence for Constrained MDPs: From Dual Descent to Primal-Dual

Michael Lu, Max Qiushi Lin, Mo Chen, Sharan Vaswani

We study policy optimization for infinite-horizon, discounted constrained Markov decision processes. While primal-dual ($\texttt{PD}$) methods are widely used in practice, their theoretical guarantees typically hold for an impractical mixture policy. In contrast, dual descent ($\texttt{DD}$) methods output a single policy ("last iterate") with guarantees on its performance. However, such methods require iteratively solving entropy-regularized MDPs in an inner-loop, limiting their practical effectiveness. Moreover, existing analyses rely on strong coverage assumptions that are difficult to satisfy in practice. Consequently, we first provide a new analysis of $\texttt{DD}$ methods that does not require coverage assumptions. We then employ entropy-regularized natural policy gradient and dual regularization to eliminate the inner loop, resulting in an efficient $\texttt{PD}$ algorithm. We develop a novel tracking analysis which shows that, compared to existing methods, the proposed algorithm achieves improved last-iterate convergence guarantees. Furthermore, our theoretical framework allows us to analyze a truncated bilevel method that interpolates between $\texttt{DD}$ and…