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We study the variance of the REINFORCE policy gradient estimator inenvironments with continuous state and action spaces, linear dynamics,quadratic cost, and Gaussian noise. These simple environments allow us toderive bounds on the estimator variance in terms of the environment and noiseparameters. We compare the predictions of our bounds to the empirical variancein simulation experiments.

Analyzing the Variance of Policy Gradient Estimators for the Linear-Quadratic Regulator