Part of Advances in Neural Information Processing Systems 10 (NIPS 1997)
We propose local error estimates together with algorithms for adap(cid:173) tive a-posteriori grid and time refinement in reinforcement learn(cid:173) ing. We consider a deterministic system with continuous state and time with infinite horizon discounted cost functional. For grid re(cid:173) finement we follow the procedure of numerical methods for the Bellman-equation. For time refinement we propose a new criterion, based on consistency estimates of discrete solutions of the Bellman(cid:173) equation. We demonstrate, that an optimal ratio of time to space discretization is crucial for optimal learning rates and accuracy of the approximate optimal value function.