Group for Research in Decision Analysis

Fastest convergence for Q-learning

Sean Meyn University of Florida, United States

The Zap Q-learning algorithm introduced in this paper is an improvement of Watkins' original algorithm and recent competitors in several respects. It is a matrix-gain algorithm designed so that its asymptotic variance is optimal. Moreover, an ODE analysis suggests that the transient behavior is a close match to a deterministic Newton-Raphson implementation. This is made possible by a two time-scale update equation for the matrix gain sequence.

The analysis suggests that the approach will lead to stable and efficient computation even for non-ideal parameterized settings. Numerical experiments confirm the quick convergence, even in such non-ideal cases.

A secondary goal of this paper is tutorial. The first half of the paper contains a survey on reinforcement learning algorithms, with a focus on minimum variance algorithms

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