Farahmand, Amir M., Precup, Doina

Value Pursuit Iteration (VPI) is an approximate value iteration algorithm that finds a close to optimal policy for reinforcement learning and planning problems with large state spaces. VPI has two main features: First, it is a nonparametric algorithm that finds a good sparse approximation of the optimal value function given a dictionary of features. The algorithm is almost insensitive to the number of irrelevant features. Second, after each iteration of VPI, the algorithm adds a set of functions based on the currently learned value function to the dictionary. This increases the representation power of the dictionary in a way that is directly relevant to the goal of having a good approximation of the optimal value function.

Partially observable Markov decision processes (POMDPs) are an intuitive and general way to model sequential decision making problems under uncertainty. Unfortunately, even approximate planning in POMDPs is known to be hard, and developing heuristic planners that can deliver reasonable results in practice has proved to be a significant challenge. In this paper, we present a new approach to approximate value-iteration for POMDP planning that is based on quadratic rather than piecewise linear function approximators. Specifically, we approximate the optimal value function by a convex upper bound composed of a fixed number of quadratics, and optimize it at each stage by semidefinite programming. We demonstrate that our approach can achieve competitive approximation quality to current techniques while still maintaining a bounded size representation of the function approximator. Moreover, an upper bound on the optimal value function can be preserved if required. Overall, the technique requires computation time and space that is only linear in the number of iterations (horizon time).

Farahmand, Amir M., Precup, Doina

Value Pursuit Iteration (VPI) is an approximate value iteration algorithm that finds a close to optimal policy for reinforcement learning and planning problems with large state spaces. VPI has two main features: First, it is a nonparametric algorithm that finds a good sparse approximation of the optimal value function given a dictionary of features. The algorithm is almost insensitive to the number of irrelevant features. Second, after each iteration of VPI, the algorithm adds a set of functions based on the currently learned value function to the dictionary. This increases the representation power of the dictionary in a way that is directly relevant to the goal of having a good approximation of the optimal value function. We theoretically study VPI and provide a finite-sample error upper bound for it.

Ramaswamy, Arunselvan, Bhatnagar, Shalabh, Quevedo, Daniel E.

Asynchronous stochastic approximations are an important class of model-free algorithms that are readily applicable to multi-agent reinforcement learning (RL) and distributed control applications. When the system size is large, the aforementioned algorithms are used in conjunction with function approximations. In this paper, we present a complete analysis, including stability (almost sure boundedness) and convergence, of asynchronous stochastic approximations with asymptotically bounded biased errors, under easily verifiable sufficient conditions. As an application, we analyze the Policy Gradient algorithms and the more general Value Iteration based algorithms with noise. These are popular reinforcement learning algorithms due to their simplicity and effectiveness. Specifically, we analyze the asynchronous approximate counterpart of policy gradient (A2PG) and value iteration (A2VI) schemes. It is shown that the stability of these algorithms remains unaffected when the approximation errors are guaranteed to be asymptotically bounded, although possibly biased. Regarding convergence of A2VI, it is shown to converge to a fixed point of the perturbed Bellman operator when balanced step-sizes are used. Further, a relationship between these fixed points and the approximation errors is established. A similar analysis for A2PG is also presented.