Least-Squares Temporal Di erence Learning

TD( ) is a popular family of algorithms for approximate policy evaluation in large MDPs. TD( ) works by incrementally updating the value function after each observed transition. It has two major drawbacks: it makes ine cient use of data, and it requires the user to manually tune a stepsize schedule for good performance. For the case of linear value function approximations and = 0, the Least-Squares TD (LSTD) algorithm of Bradtke and Barto (Bradtke and Barto, 1996) eliminates all stepsize parameters and improves data e ciency. This paper extends Bradtke and Barto's work in three signi cant ways. First, it presents a simpler derivation of the LSTD algorithm. Second, it generalizes from = 0 to arbitrary values of ; at the extreme of = 1, the resulting algorithm is shown to be a practical formulation of supervised linear regression. Third, it presents a novel, intuitive interpretation of LSTD as a model-based reinforcement learning technique.