From Weighted Classification to Policy Search

This paper proposes an algorithm to convert a T -stage stochastic decision problem with a continuous state space to a sequence of supervised learning problems.The optimization problem associated with the trajectory tree and random trajectory methods of Kearns, Mansour, and Ng, 2000, is solved using the Gauss-Seidel method. The algorithm breaks a multistage reinforcementlearning problem into a sequence of single-stage reinforcement learningsubproblems, each of which is solved via an exact reduction to a weighted-classification problem that can be solved using off-the-self methods. Thus the algorithm converts a reinforcement learning probleminto simpler supervised learning subproblems. It is shown that the method converges in a finite number of steps to a solution that cannot be further improved by componentwise optimization. The implication ofthe proposed algorithm is that a plethora of classification methods can be applied to find policies in the reinforcement learning problem.