Convergent Temporal-Difference Learning with Arbitrary Smooth Function Approximation

Part of Advances in Neural Information Processing Systems 22 (NIPS 2009)

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Hamid Maei, Csaba Szepesvári, Shalabh Bhatnagar, Doina Precup, David Silver, Richard S. Sutton


We introduce the first temporal-difference learning algorithms that converge with smooth value function approximators, such as neural networks. Conventional temporal-difference (TD) methods, such as TD($\lambda$), Q-learning and Sarsa have been used successfully with function approximation in many applications. However, it is well known that off-policy sampling, as well as nonlinear function approximation, can cause these algorithms to become unstable (i.e., the parameters of the approximator may diverge). Sutton et al (2009a,b) solved the problem of off-policy learning with linear TD algorithms by introducing a new objective function, related to the Bellman-error, and algorithms that perform stochastic gradient-descent on this function. In this paper, we generalize their work to nonlinear function approximation. We present a Bellman error objective function and two gradient-descent TD algorithms that optimize it. We prove the asymptotic almost-sure convergence of both algorithms for any finite Markov decision process and any smooth value function approximator, under usual stochastic approximation conditions. The computational complexity per iteration scales linearly with the number of parameters of the approximator. The algorithms are incremental and are guaranteed to converge to locally optimal solutions.