MATHEMATICS OF OPERATIONS RESEARCH Vol. 38, No. 2, May 2013, pp. 209–227 ISSN 0364-765X (print) ISSN 1526-5471 (online) http://dx.doi.org/10.1287/moor.1120.0562 © 2013 INFORMS On Boundedness of Q-Learning Iterates for Stochastic Shortest Path Problems Huizhen Yu Laboratory for Information and Decision Systems, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139,
[email protected] Dimitri P. Bertsekas Laboratory for Information and Decision Systems and Department of EECS, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139,
[email protected] We consider a totally asynchronous stochastic approximation algorithm, Q-learning, for solving finite space stochastic shortest path (SSP) problems, which are undiscounted, total cost Markov decision processes with an absorbing and cost-free state. For the most commonly used SSP models, existing convergence proofs assume that the sequence of Q-learning iterates is bounded with probability one, or some other condition that guarantees boundedness. We prove that the sequence of iterates is naturally bounded with probability one, thus furnishing the boundedness condition in the convergence proof by Tsitsiklis [Tsitsiklis JN (1994) Asynchronous stochastic approximation and Q-learning. Machine Learn. 16:185–202] and establishing completely the convergence of Q-learning for these SSP models. le at http://journals.informs.org/. Key words: Markov decision processes; Q-learning; stochastic approximation; dynamic programming; reinforcement learning MSC2000 subject classification: Primary: 90C40, 93E20, 90C39; secondary: 68W15, 62L20 OR/MS subject classification: Primary: dynamic programming/optimal control, analysis of algorithms; secondary: Markov, finite state History: Received June 6, 2011; revised April 18, 2012. Published online in Articles in Advance November 28, 2012.