2008), “Convergence Proofs of Least Squares Policy Iteration Algorithm for High-Dimensional Infinite Horizon Markov Decision Process Problems,” working paper

Most of the current theory for dynamic programming algorithms focuses on finite state, finite action Markov decision problems, with a paucity of theory for the convergence of approximation algorithms with continuous states. In this paper we propose a policy iteration algorithm for infinite-horizon Markov decision problems where the state and action spaces are continuous and the expectation cannot be computed exactly. We show that an appropriately designed least squares (LS) or recursive least squares (RLS) method is provably convergent under certain problem structure assumptions on value functions. In addition, we show that the LS/RLS approximate policy iteration algorithm converges in the mean, meaning that the mean error between the approximate policy value function and the optimal value function shrinks to zero as successive approximations become more accurate. Furthermore, the convergence results are extended to the more general case of unknown basis functions with orthogonal polynomials.