LIDS REPORT 2876 1 Weighted Bellman Equations and their Applications in Approximate Dynamic Programming ∗

We consider approximation methods for Markov decision processes in the learning and simulation context. For policy evaluation based on solving approximate versions of a Bellman equation, we propose the use of weighted Bellman mappings. Such mappings comprise weighted sums of one-step and multistep Bellman mappings, where the weights depend on both the step and the state. For projected versions of the associated Bellman equations, we show that their solutions have the same nature and essential approximation properties as the commonly used approximate solutions from TD(λ). The most important feature of our framework is that each state can be associated with a different type of mapping. Compared with the standard TD(λ) framework, this gives a more flexible way to combine multistage costs and state transition probabilities in approximate policy evaluation, and provides alternative means for bias-variance control. With weighted Bellman mappings, there is also greater flexibility to design learning and simulation-based algorithms. We demonstrate this with examples, including new TD-type algorithms with state-dependent λ parameters, as well as block versions of the algorithms. Weighted Bellman mappings can also be applied in approximate policy iteration: we provide several examples, including some new optimistic policy iteration schemes. Another major feature of our framework is that the projection need not be based on a norm, but rather can use a semi-norm. This allows us to establish a close connection between projected equation and aggregation methods, and to develop for the first time multistep aggregation methods, including some of the TD(λ)-type. Oct 2012 ∗Work supported by the Air Force Grant FA9550-10-1-0412. †Lab. for Information and Decision Systems, M.I.T. janey [email protected] ‡Lab. for Information and Decision Systems, M.I.T. [email protected]