Off-Policy Temporal Difference Learning for Perturbed Markov Decision Processes: Theoretical Insights and Extensive Simulations

摘要

Dynamic Programming suffers from the curse of dimensionality due to large state and action spaces, a challenge further compounded by uncertainties in the environment. To mitigate these issue, we explore an off-policy based Temporal Difference Approximate Dynamic Programming approach that preserves contraction mapping when projecting the problem into a subspace of selected features, accounting for the probability distribution of the perturbed transition probability matrix. We further demonstrate how this Approximate Dynamic Programming approach can be implemented as a particular variant of the Temporal Difference learning algorithm, adapted for handling perturbations. To validate our theoretical findings, we provide a numerical example using a Markov Decision Process corresponding to a resource allocation problem.