Reference : Model-free Monte Carlo–like policy evaluation
Scientific congresses and symposiums : Paper published in a book
Engineering, computing & technology : Computer science
http://hdl.handle.net/2268/57536
Model-free Monte Carlo–like policy evaluation
English
Fonteneau, Raphaël mailto [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation >]
Murphy, Susan [ > > ]
Wehenkel, Louis mailto [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation >]
Ernst, Damien mailto [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation >]
May-2010
Proceedings of Conférence Francophone sur l'Apprentissage Automatique (CAp) 2010
Yes
No
National
Conférence Francophone sur l'Apprentissage Automatique (CAp) 2010
17-19 May 2010
Clermont-Ferrand
France
[en] reinforcement learning ; policy evaluation ; Monte Carlo estimation
[en] We propose an algorithm for estimating the finite-horizon expected return of a closed loop control policy from an a priori given (off-policy) sample of one-step transitions. It averages cumulated rewards along a set of “broken trajectories” made of one-step transitions selected from the sample on the basis of the control policy. Under some Lipschitz continuity assumptions on the system dynamics, reward function and control policy, we provide bounds on the bias and variance of the estimator that depend only on the Lipschitz constants, on the number of broken trajectories used in the estimator, and on the sparsity of the sample of one-step transitions.
Fonds pour la formation à la Recherche dans l'Industrie et dans l'Agriculture (Communauté française de Belgique) - FRIA ; Fonds de la Recherche Scientifique (Communauté française de Belgique) - F.R.S.-FNRS
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/57536
This paper won the "Best student paper award". It was also presented at AISTATS 2010 (see http://hdl.handle.net/2268/22651 )

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