Boosted Fitted Q-Iteration

International audienceThis paper is about the study of B-FQI, an Approximated Value Iteration (AVI) algorithm that exploits a boosting procedure to estimate the action-value function in reinforcement learning problems. B-FQI is an iterative off-line algorithm that, given a dataset of transitions, builds an approximation of the optimal action-value function by summing the approximations of the Bell-man residuals across all iterations. The advantage of such approach w.r.t. to other AVI methods is twofold: (1) while keeping the same function space at each iteration, B-FQI can represent more complex functions by considering an additive model; (2) since the Bellman residual decreases as the optimal value function is approached , regression problems become easier as iterations proceed. We study B-FQI both theoretically , providing also a finite-sample error upper bound for it, and empirically, by comparing its performance to the one of FQI in different domains and using different regression techniques