Abstract

We provide a bound on the first moment of the error in the Q-function estimate resulting from fixed step-size algorithms applied to finite state-space, discounted reward Markov decision problems. Motivated by Tsitsiklis' proof for the decreasing step-size case, we decompose the Q-learning update equations into a dynamical system driven by a noise sequence and another dynamical system whose state variable is the Q-learning error, i.e., the difference between the true Q-function and the estimate. A natural persistence of excitation condition allows us to sample the system periodically and derive a simple scalar difference equation from which the convergence properties and bounds on the error of the Q-learning algorithm can be derived.

Original languageEnglish (US)
Pages (from-to)1203-1208
Number of pages6
JournalSystems and Control Letters
Volume61
Issue number12
DOIs
StatePublished - Nov 13 2012

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Keywords

  • Markov decision processes
  • Q-learning
  • Stochastic approximation

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science(all)
  • Mechanical Engineering
  • Electrical and Electronic Engineering

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