Robust Value Function Approximation Using Bilinear Programming

Existing value function approximation methods have been successfully used in many applications, but they often lack useful a priori error bounds. We propose approximate bilinear programming, a new formulation of value function approximation thatprovides strong a priori guarantees. In particular, this approach provably finds an approximate value function that minimizes the Bellman residual. Solving a bilinear program optimally is NPhard, but this is unavoidable because the Bellman-residual minimization itself is NPhard. We therefore employ and analyze a common approximate algorithm for bilinear programs. The analysis shows that this algorithm offers a convergent generalization of approximate policy iteration.Finally, we demonstrate that the proposed approach can consistently minimize the Bellman residual on a simple benchmark problem.