The Blessing of Heterogeneity in Federated Q-Learning: Linear Speedup and Beyond

In this paper, we consider federated Q-learning, which aims to learn an optimal Q-function by periodically aggregating local Q-estimates trained on local data alone. Focusing on infinite-horizon tabular Markov decision processes, we provide sample complexity guarantees for both the synchronous and asynchronous variants of federated Q-learning. In both cases, our bounds exhibit a linear speedup with respect to the number of agents and sharper dependencies on other salient problem parameters. Moreover, existing approaches to federated Q-learning adopt an equally-weighted averaging of local Q-estimates, which can be highly sub-optimal in the asynchronous setting since the local trajectories can be highly heterogeneous due to different local behavior policies. Existing sample complexity scales inverse proportionally to the minimum entry of the stationary state-action occupancy distributions over all agents, requiring that every agent covers the entire state-action space. Instead, we propose a novel importance averaging algorithm, giving larger weights to more frequently visited state-action pairs. The improved sample complexity scales inverse proportionally to the minimum entry of the average stationary state-action occupancy distribution of all agents, thus only requiring the agents collectively cover the entire state-action space, unveiling the blessing of heterogeneity.