introduction-to-value-optimization.md

Value-function estimation

Consider the problem of determining a value function with function approximation. In the tabular case, we could use back-ups to compute our value function exactly. For function approximation, we must choose a gradient of the state or state-action pair which moves us in a direction towards optimality.

However, how can we compute the loss of our current value function, if we don’t know the optimal value function?

The solution is actually quite simple. Rather than performing a backup—where we assign the value of a state to a new estimate—we instead perform a gradient step in the direction of a backup. We perform a step in the direction of the gradient—rather than backing up—because we are using an approximation, and have to balance prediction errors from several states at once.

Value function gradients

If we knew the optimal value function, we could simply move the weights in a direction towards the local optimum of the error estimation.

$$ \theta_{t+1} \gets \theta_t + \alpha \left[ v_\pi(S_t) - \hat{v}(S_t | \theta_t) \right] \nabla \hat{v} (S_t | \theta_t) $$

Note that this is the gradient of the mean squared value error:

$$ \sum_{s \in \mathcal{S}} d(s) \left[ v_\pi(s) - \hat{v}(s | \theta)\right]^2 $$

However, since $$v_\pi$$ is not known, we must substitute in some estimate $$\mathbb{E} \left[ U_t \right] \approx v_\pi $$ which is preferably unbiased. These estimates can be found in the backup equations of tabular, dynamic programming RL methods like TD($$\lambda$$) or Monte Carlo. Some examples of possible $$U_t$$ values are listed:

Loss function	$$U_t$$ value	Parameter update step expression	Biased?
Monte Carlo return	$$U_t \gets G_t$$	$$\theta_{t+1} \gets \theta_t + \alpha \left[ G_t - \hat{v}(S_t	\theta_t \right] \nabla \hat{v} (S_t
TD(0) return	$$U_t \gets R_t + \gamma \hat{v} (S'	\theta_t)$$	$$\theta_{t+1} \gets \theta_t + \alpha \left[ R_t + \gamma \hat{v} (S'

Note that the TD(0) return is biased, since the target is defined in terms of the parameters $$\theta$$. Methods that use such a target are known as semi-gradient methods, because they only take into account the effect of the gradient on the estimate, but not the target.

The Monte Carlo update step is an unbiased estimate of $$v_\pi$$, by the definition of $$v_\pi$$. Although the unbiased nature of the MC estimate is appealing, the update step must be performed offline—the return $$G_t$$ is only known at the end of an episode. In contrast, the biased TD(0) estimate only relies on TD errors and hence can learn in non-episodic environments, and can learn online.