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Model-Free Monte Carlo-like Policy Evaluation

Abstract : 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.
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https://hal.inria.fr/inria-00510325
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Submitted on : Wednesday, August 18, 2010 - 9:42:53 AM
Last modification on : Tuesday, April 21, 2020 - 11:22:33 AM
Long-term archiving on: : Friday, November 19, 2010 - 2:30:28 AM

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Raphael Fonteneau, Susan Murphy, Louis Wehenkel, Damien Ernst. Model-Free Monte Carlo-like Policy Evaluation. Journées MAS et Journée en l'honneur de Jacques Neveu, Aug 2010, Talence, France. ⟨inria-00510325⟩

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