Abstract
Dynamic programming (DP) and reinforcement learning (RL) can be used to address problems from a variety of fields, including automatic control, artificial intelligence, operations research, and economy. Many problems in these fields are described by continuous variables, whereas DP and RL can find exact solutions only in the discrete case. Therefore, approximation is essential in practical DP and RL. This chapter provides an in-depth review of the literature on approximate DP and RL in large or continuous-space, infinite-horizon problems. Value iteration, policy iteration, and policy search approaches are presented in turn. Model-based (DP) as well as online and batch model-free (RL) algorithms are discussed. We review theoretical guarantees on the approximate solutions produced by these algorithms. Numerical examples illustrate the behavior of several representative algorithms in practice. Techniques to automatically derive value function approximators are discussed, and a comparison between value iteration, policy iteration, and policy search is provided. The chapter closes with a discussion of open issues and promising research directions in approximate DP and RL.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Baddeley, B.: Reinforcement learning in continuous time and space: Interference and not ill conditioning is the main problem when using distributed function approximators. IEEE Transactions on Systems, Man, and Cybernetics—Part B: Cybernetics 38(4), 950–956 (2008)
Barash, D.: A genetic search in policy space for solving Markov decision processes. In: AAAI Spring Symposium on Search Techniques for Problem Solving under Uncertainty and Incomplete Information. Palo Alto, US (1999)
Barto, A.G., Sutton, R.S., Anderson, C.W.: Neuronlike adaptive elements than can solve difficult learning control problems. IEEE Transactions on Systems, Man, and Cybernetics 13(5), 833–846 (1983)
Baxter, J., Bartlett, P.L.: Infinite-horizon policy-gradient estimation. Journal of Artificial Intelligence Research 15, 319–350 (2001)
Berenji, H.R., Khedkar, P.: Learning and tuning fuzzy logic controllers through reinforcements. IEEE Transactions on Neural Networks 3(5), 724–740 (1992)
Berenji, H.R., Vengerov, D.: A convergent actor-critic-based FRL algorithm with application to power management of wireless transmitters. IEEE Transactions on Fuzzy Systems 11(4), 478–485 (2003)
Bertsekas, D.P.: Adaptive aggregation methods for infinite horizon dynamic programming. IEEE Transactions on Automatic Control 34(6), 589–598 (1989)
Bertsekas, D.P.: Dynamic programming and suboptimal control: A survey from ADP to MPC. European Journal of Control 11(4-5) (2005); Special issue for the CDC-ECC-05 in Seville, Spain
Bertsekas, D.P.: Dynamic Programming and Optimal Control, 3rd edn., vol. 2. Athena Scientific, Belmont (2007)
Bertsekas, D.P., Shreve, S.E.: Stochastic Optimal Control: The Discrete Time Case. Academic Press, London (1978)
Bertsekas, D.P., Tsitsiklis, J.N.: Neuro-Dynamic Programming. Athena Scientific, Belmont (1996)
Borkar, V.: An actor–critic algorithm for constrained Markov decision processes. Systems & Control Letters 54, 207–213 (2005)
Buşoniu, L., Babuška, R., De Schutter, B.: A comprehensive survey of multi-agent reinforcement learning. IEEE Transactions on Systems, Man, and Cybernetics 38(2), 156–172 (2008)
Buşoniu, L., Ernst, D., De Schutter, B., Babuška, R.: Consistency of fuzzy model-based reinforcement learning. In: Proceedings 2008 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 2008), Hong Kong, pp. 518–524 (2008)
Buşoniu, L., Ernst, D., De Schutter, B., Babuška, R.: Fuzzy partition optimization for approximate fuzzy Q-iteration. In: Proceedings 17th IFAC World Congress (IFAC 2008), Seoul, Korea, pp. 5629–5634 (2008)
Buşoniu, L., Ernst, D., De Schutter, B., Babuška, R.: Policy search with cross-entropy optimization of basis functions. In: Proceedings 2009 IEEE International Symposium on Adaptive Dynamic Programming and Reinforcement Learning (ADPRL 2009), Nashville, US, pp. 153–160 (2009)
Chang, H.S., Fu, M.C., Hu, J., Marcus, S.I.: Simulation-Based Algorithms for Markov Decision Processes. Springer, Heidelberg (2007)
Chin, H.H., Jafari, A.A.: Genetic algorithm methods for solving the best stationary policy of finite Markov decision processes. In: Proceedings 30th Southeastern Symposium on System Theory, Morgantown, US, pp. 538–543 (1998)
Chow, C.S., Tsitsiklis, J.N.: An optimal one-way multigrid algorithm for discrete-time stochastic control. IEEE Transactions on Automatic Control 36(8), 898–914 (1991)
Coulom, R.: Feedforward neural networks in reinforcement learning applied to high-dimensional motor control. In: Cesa-Bianchi, N., Numao, M., Reischuk, R. (eds.) ALT 2002. LNCS (LNAI), vol. 2533, pp. 403–413. Springer, Heidelberg (2002)
Ernst, D., Geurts, P., Wehenkel, L.: Tree-based batch mode reinforcement learning. Journal of Machine Learning Research 6, 503–556 (2005)
Ernst, D., Glavic, M., Capitanescu, F., Wehenkel, L.: Reinforcement learning versus model predictive control: a comparison on a power system problem. IEEE Transactions on Systems, Man, and Cybernetics—Part B: Cybernetics 39(2), 517–529 (2009)
Glorennec, P.Y.: Reinforcement learning: An overview. In: Proceedings European Symposium on Intelligent Techniques (ESIT 2000), Aachen, Germany, pp. 17–35 (2000)
Gomez, F.J., Schmidhuber, J., Miikkulainen, R.: Efficient non-linear control through neuroevolution. In: Fürnkranz, J., Scheffer, T., Spiliopoulou, M. (eds.) ECML 2006. LNCS (LNAI), vol. 4212, pp. 654–662. Springer, Heidelberg (2006)
Gonzalez, R.L., Rofman, E.: On deterministic control problems: An approximation procedure for the optimal cost I. The stationary problem. SIAM Journal on Control and Optimization 23(2), 242–266 (1985)
Gordon, G.: Stable function approximation in dynamic programming. In: Proceedings 12th International Conference on Machine Learning (ICML 1995), Tahoe City, US, pp. 261–268 (1995)
Grüne, L.: Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation. Numerical Mathematics 99, 85–112 (2004)
Horiuchi, T., Fujino, A., Katai, O., Sawaragi, T.: Fuzzy interpolation-based Q-learning with continuous states and actions. In: Proceedings 5th IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 1996), New Orleans, US, pp. 594–600 (1996)
Jaakkola, T., Jordan, M.I., Singh, S.P.: On the convergence of stochastic iterative dynamic programming algorithms. Neural Computation 6(6), 1185–1201 (1994)
Jouffe, L.: Fuzzy inference system learning by reinforcement methods. IEEE Transactions on Systems, Man, and Cybernetics—Part C: Applications and Reviews 28(3), 338–355 (1998)
Jung, T., Polani, D.: Least squares SVM for least squares TD learning. In: Proceedings of 17th European Conference on Artificial Intelligence (ECAI 2006), Riva del Garda, Italy, pp. 499–503 (2006)
Jung, T., Polani, D.: Kernelizing LSPE(λ). In: Proceedings 2007 IEEE Symposium on Approximate Dynamic Programming and Reinforcement Learning (ADPRL 2007), Honolulu, US, pp. 338–345 (2007)
Jung, T., Uthmann, T.: Experiments in value function approximation with sparse support vector regression. In: Proceedings 15th European Conference on Machine Learning (ECML 2004), Pisa, Italy, pp. 180–191 (2004)
Kaelbling, L.P., Littman, M.L., Cassandra, A.R.: Planning and acting in partially observable stochastic domains. Artificial Intelligence 101, 99–134 (1998)
Kaelbling, L.P., Littman, M.L., Moore, A.W.: Reinforcement learning: A survey. Journal of Artificial Intelligence Research 4, 237–285 (1996)
Konda, V.: Actor–critic algorithms. Ph.D. thesis, Massachusetts Institute of Technology, Cambridge, US (2002)
Konda, V.R., Tsitsiklis, J.N.: Actor–critic algorithms. In: Solla, S.A., Leen, T.K., Müller, K.R. (eds.) Advances in Neural Information Processing Systems, vol. 12, pp. 1008–1014. MIT Press, Cambridge (2000)
Konda, V.R., Tsitsiklis, J.N.: On actor–critic algorithms. SIAM Journal on Control and Optimization 42(4), 1143–1166 (2003)
Lagoudakis, M., Parr, R., Littman, M.: Least-squares methods in reinforcement learning for control. In: Vlahavas, I.P., Spyropoulos, C.D. (eds.) SETN 2002. LNCS (LNAI), vol. 2308, pp. 249–260. Springer, Heidelberg (2002)
Lagoudakis, M.G., Parr, R.: Least-squares policy iteration. Journal of Machine Learning Research 4, 1107–1149 (2003)
Lagoudakis, M.G., Parr, R.: Reinforcement learning as classification: Leveraging modern classifiers. In: Proceedings 20th International Conference on Machine Learning (ICML 2003), Washington, US, pp. 424–431 (2003)
Lewis, R.M., Torczon, V.: Pattern search algorithms for bound constrained minimization. SIAM Journal on Optimization 9(4), 1082–1099 (1999)
Lin, L.J.: Self-improving reactive agents based on reinforcement learning, planning and teaching. Machine Learning 8(3/4), 293–321 (1992); Special Issue on Reinforcement Learning
Liu, D., Javaherian, H., Kovalenko, O., Huang, T.: Adaptive critic learning techniques for engine torque and air-fuel ratio control. IEEE Transactions on Systems, Man, and Cybernetics—Part B: Cybernetics 38(4), 988–993 (2008)
Madani, O.: On policy iteration as a newton s method and polynomial policy iteration algorithms. In: Proceedings 18th National Conference on Artificial Intelligence and 14th Conference on Innovative Applications of Artificial Intelligence AAAI/IAAI 2002, Edmonton, Canada, pp. 273–278 (2002)
Mahadevan, S.: Samuel meets Amarel: Automating value function approximation using global state space analysis. In: Proceedings 20th National Conference on Artificial Intelligence and the 17th Innovative Applications of Artificial Intelligence Conference (AAAI 2005), Pittsburgh, US, pp. 1000–1005 (2005)
Mahadevan, S., Maggioni, M.: Proto-value functions: A Laplacian framework for learning representation and control in Markov decision processes. Journal of Machine Learning Research 8, 2169–2231 (2007)
Mannor, S., Rubinstein, R.Y., Gat, Y.: The cross-entropy method for fast policy search. In: Proceedings 20th International Conference on Machine Learning (ICML 2003), Washington, US, pp. 512–519 (2003)
Marbach, P., Tsitsiklis, J.N.: Approximate gradient methods in policy-space optimization of Markov reward processes. Discrete Event Dynamic Systems: Theory and Applications 13, 111–148 (2003)
McCallum, A.: Overcoming incomplete perception with utile distinction memory. In: Proceedings 10th International Conference on Machine Learning (ICML 1993), Amherst, US, pp. 190–196 (1993)
Menache, I., Mannor, S., Shimkin, N.: Basis function adaptation in temporal difference reinforcement learning. Annals of Operations Research 134, 215–238 (2005)
Millán, J.d.R., Posenato, D., Dedieu, E.: Continuous-action Q-learning. Machine Learning 49(2-3), 247–265 (2002)
Munos, R.: Finite-element methods with local triangulation refinement for continuous reinforcement learning problems. In: van Someren, M., Widmer, G. (eds.) ECML 1997. LNCS, vol. 1224, pp. 170–182. Springer, Heidelberg (1997)
Munos, R.: Policy gradient in continuous time. Journal of Machine Learning Research 7, 771–791 (2006)
Munos, R., Moore, A.: Variable-resolution discretization in optimal control. Machine Learning 49(2-3), 291–323 (2002)
Nakamura, Y., Moria, T., Satoc, M., Ishiia, S.: Reinforcement learning for a biped robot based on a CPG-actor-critic method. Neural Networks 20, 723–735 (2007)
Nedić, A., Bertsekas, D.P.: Least-squares policy evaluation algorithms with linear function approximation. Discrete Event Dynamic Systems 13, 79–110 (2003)
Ng, A.Y., Harada, D., Russell, S.: Policy invariance under reward transformations: Theory and application to reward shaping. In: Proceedings 16th International Conference on Machine Learning (ICML 1999), Bled, Slovenia, pp. 278–287 (1999)
Ng, A.Y., Jordan, M.I.: PEGASUS: A policy search method for large MDPs and POMDPs. In: Proceedings 16th Conference in Uncertainty in Artificial Intelligence (UAI 2000), Palo Alto, US, pp. 406–415 (2000)
Ormoneit, D., Sen, S.: Kernel-based reinforcement learning. Machine Learning 49(2-3), 161–178 (2002)
Pérez-Uribe, A.: Using a time-delay actor–critic neural architecture with dopamine-like reinforcement signal for learning in autonomous robots. In: Wermter, S., Austin, J., Willshaw, D.J. (eds.) Emergent Neural Computational Architectures Based on Neuroscience. LNCS (LNAI), vol. 2036, pp. 522–533. Springer, Heidelberg (2001)
Peters, J., Schaal, S.: Natural actor–critic. Neurocomputing 71(7-9), 1180–1190 (2008)
Porta, J.M., Vlassis, N., Spaan, M.T., Poupart, P.: Point-based value iteration for continuous POMDPs. Journal of Machine Learning Research 7, 2329–2367 (2006)
Prokhorov, D., Wunsch, D.C.: Adaptive critic designs. IEEE Transactions on Neural Networks 8(5), 997–1007 (1997)
Ratitch, B., Precup, D.: Sparse distributed memories for on-line value-based reinforcement learning. In: Boulicaut, J.-F., Esposito, F., Giannotti, F., Pedreschi, D. (eds.) ECML 2004. LNCS (LNAI), vol. 3201, pp. 347–358. Springer, Heidelberg (2004)
Reynolds, S.I.: Adaptive resolution model-free reinforcement learning: Decision boundary partitioning. In: Proceedings 17th International Conference on Machine Learning (ICML 2000), Stanford University, US, pp. 783–790 (2000)
Riedmiller, M.: Neural fitted Q-iteration – first experiences with a data efficient neural reinforcement learning method. In: Gama, J., Camacho, R., Brazdil, P.B., Jorge, A.M., Torgo, L. (eds.) ECML 2005. LNCS (LNAI), vol. 3720, pp. 317–328. Springer, Heidelberg (2005)
Riedmiller, M., Peters, J., Schaal, S.: Evaluation of policy gradient methods and variants on the cart-pole benchmark. In: Proceedings 2007 IEEE Symposium on Approximate Dynamic Programming and Reinforcement Learning (ADPRL 2007), Honolulu, US, pp. 254–261 (2007)
Rummery, G.A., Niranjan, M.: On-line Q-learning using connectionist systems. Tech. Rep. CUED/F-INFENG/TR166, Engineering Department, Cambridge University, UK (1994)
Santos, M.S., Vigo-Aguiar, J.: Analysis of a numerical dynamic programming algorithm applied to economic models. Econometrica 66(2), 409–426 (1998)
Singh, S.P., Jaakkola, T., Jordan, M.I.: Reinforcement learning with soft state aggregation. In: Tesauro, G., Touretzky, D.S., Leen, T.K. (eds.) Advances in Neural Information Processing Systems, vol. 7, pp. 361–368 (1995)
Sutton, R.S.: Learning to predict by the method of temporal differences. Machine Learning 3, 9–44 (1988)
Sutton, R.S.: Integrated architectures for learning, planning, and reacting based on approximating dynamic programming. In: Proceedings 7th International Conference on Machine Learning (ICML 1990), Austin, US, pp. 216–224 (1990)
Sutton, R.S., Barto, A.G.: Reinforcement Learning: An Introduction. MIT Press, Cambridge (1998)
Sutton, R.S., Barto, A.G., Williams, R.J.: Reinforcement learning is adaptive optimal control. IEEE Control Systems Magazine 12(2), 19–22 (1992)
Sutton, R.S., McAllester, D.A., Singh, S.P., Mansour, Y.: Policy gradient methods for reinforcement learning with function approximation. In: Solla, S.A., Leen, T.K., Müller, K.R. (eds.) Advances in Neural Information Processing Systems, vol. 12, pp. 1057–1063. MIT Press, Cambridge (2000)
Szepesvári, C., Smart, W.D.: Interpolation-based Q-learning. In: Proceedings 21st International Conference on Machine Learning (ICML 2004), Bannf, Canada, pp. 791–798 (2004)
Torczon, V.: On the convergence of pattern search algorithms. SIAM Journal on Optimization 7(1), 1–25 (1997)
Touzet, C.F.: Neural reinforcement learning for behaviour synthesis. Robotics and Autonomous Systems 22(3-4), 251–281 (1997)
Tsitsiklis, J.N., Van Roy, B.: Feature-based methods for large scale dynamic programming. Machine Learning 22(1-3), 59–94 (1996)
Tsitsiklis, J.N., Van Roy, B.: An analysis of temporal difference learning with function approximation. IEEE Transactions on Automatic Control 42(5), 674–690 (1997)
Uther, W.T.B., Veloso, M.M.: Tree based discretization for continuous state space reinforcement learning. In: Proceedings 15th National Conference on Artificial Intelligence and 10th Innovative Applications of Artificial Intelligence Conference (AAAI 1998/IAAI 1998), Madison, US, pp. 769–774 (1998)
Vrabie, D., Pastravanu, O., Abu-Khalaf, M., Lewis, F.: Adaptive optimal control for continuous-time linear systems based on policy iteration. Automatica 45(2), 477–484 (2009)
Waldock, A., Carse, B.: Fuzzy Q-learning with an adaptive representation. In: Proceedings 2008 IEEE World Congress on Computational Intelligence (WCCI 2008), Hong Kong, pp. 720–725 (2008)
Wang, X., Tian, X., Cheng, Y.: Value approximation with least squares support vector machine in reinforcement learning system. Journal of Computational and Theoretical Nanoscience 4(7-8), 1290–1294 (2007)
Watkins, C.J.C.H.: Learning from delayed rewards. Ph.D. thesis, King’s College, Oxford (1989)
Watkins, C.J.C.H., Dayan, P.: Q-learning. Machine Learning 8, 279–292 (1992)
Wiering, M.: Convergence and divergence in standard and averaging reinforcement learning. In: Boulicaut, J.-F., Esposito, F., Giannotti, F., Pedreschi, D. (eds.) ECML 2004. LNCS (LNAI), vol. 3201, pp. 477–488. Springer, Heidelberg (2004)
Williams, R.J., Baird, L.C.: Tight performance bounds on greedy policies based on imperfect value functions. In: Proceedings 8th Yale Workshop on Adaptive and Learning Systems, New Haven, US, pp. 108–113 (1994)
Xu, X., Hu, D., Lu, X.: Kernel-based least-squares policy iteration for reinforcement learning. IEEE Transactions on Neural Networks 18(4), 973–992 (2007)
Yu, H., Bertsekas, D.P.: Convergence results for some temporal difference methods based on least-squares. Tech. Rep. LIDS 2697, Massachusetts Institute of Technology, Cambridge, US (2006)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2010 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Buşoniu, L., De Schutter, B., Babuška, R. (2010). Approximate Dynamic Programming and Reinforcement Learning. In: Babuška, R., Groen, F.C.A. (eds) Interactive Collaborative Information Systems. Studies in Computational Intelligence, vol 281. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-11688-9_1
Download citation
DOI: https://doi.org/10.1007/978-3-642-11688-9_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-11687-2
Online ISBN: 978-3-642-11688-9
eBook Packages: EngineeringEngineering (R0)