<p>Temporal Difference (TD) and Least-Squares Temporal Difference (LSTD) are related methods to estimate the value function of a Markov Decision Process (MDP). While TD is a direct method using local data to update the value function estimate, LSTD is a Bellman projected equation method using full data to compute a one-time estimate. TD(<InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>) and LSTD(<InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>) extend TD and LSTD with eligibility traces. While estimating the value function, TD(<InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>) and LSTD(<InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>) use actual histories of features as traces. Recently, expected eligibility traces have been proposed for TD(<InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>) to not only include actual histories, but also all potential histories of features that could have occurred based on the model or the available data. While this idea can account for non-linear feature architectures, here we limit ourselves to linear feature architectures with full data updates in the context of LSTD. We show that, in striking contrast with the direct versions, an extension of LSTD to include the theoretical expected eligibility traces is equivalent to LSTD without eligibility traces (LSTD(0)). We obtain a similar result if we consider mixed eligibility traces; a combination of expected eligibility traces and ordinary eligibility traces. In fact, we show that LSTD with theoretical mixed eligibility traces is equivalent to LSTD(<InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(\lambda ^\prime \)</EquationSource> </InlineEquation>) for a given <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(\lambda ^\prime \)</EquationSource> </InlineEquation> that captures both the decay of the eligibility trace, as well as the balance between the expected eligibility trace and the ordinary trace. Furthermore, we consider alternative methods LSET(<InlineEquation ID="IEq8"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>) and LSET(<InlineEquation ID="IEq9"> <EquationSource Format="TEX">\(\eta \)</EquationSource> </InlineEquation>,<InlineEquation ID="IEq10"> <EquationSource Format="TEX">\(\lambda \)</EquationSource> </InlineEquation>), which rely on the empirical means of the eligibility traces rather than the theoretical expected eligibility traces, and show that their value estimates converges to those of LSTD(0) and LSTD(<InlineEquation ID="IEq11"> <EquationSource Format="TEX">\(\lambda ^\prime \)</EquationSource> </InlineEquation>).</p>

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Least-squares temporal difference with expected eligibility traces

  • Roy van Zuijlen,
  • Duarte Antunes

摘要

Temporal Difference (TD) and Least-Squares Temporal Difference (LSTD) are related methods to estimate the value function of a Markov Decision Process (MDP). While TD is a direct method using local data to update the value function estimate, LSTD is a Bellman projected equation method using full data to compute a one-time estimate. TD( \(\lambda \) ) and LSTD( \(\lambda \) ) extend TD and LSTD with eligibility traces. While estimating the value function, TD( \(\lambda \) ) and LSTD( \(\lambda \) ) use actual histories of features as traces. Recently, expected eligibility traces have been proposed for TD( \(\lambda \) ) to not only include actual histories, but also all potential histories of features that could have occurred based on the model or the available data. While this idea can account for non-linear feature architectures, here we limit ourselves to linear feature architectures with full data updates in the context of LSTD. We show that, in striking contrast with the direct versions, an extension of LSTD to include the theoretical expected eligibility traces is equivalent to LSTD without eligibility traces (LSTD(0)). We obtain a similar result if we consider mixed eligibility traces; a combination of expected eligibility traces and ordinary eligibility traces. In fact, we show that LSTD with theoretical mixed eligibility traces is equivalent to LSTD( \(\lambda ^\prime \) ) for a given \(\lambda ^\prime \) that captures both the decay of the eligibility trace, as well as the balance between the expected eligibility trace and the ordinary trace. Furthermore, we consider alternative methods LSET( \(\lambda \) ) and LSET( \(\eta \) , \(\lambda \) ), which rely on the empirical means of the eligibility traces rather than the theoretical expected eligibility traces, and show that their value estimates converges to those of LSTD(0) and LSTD( \(\lambda ^\prime \) ).