# Yekun's Note

Machine learning notes and writeup.

Notes of lectures by D. Silver.

# Monte-Carlo Learning

• MC methods learn directly from episodes of experience
• MC is model-free: no knowledge of MDP transitions / rewards.
• MC learns from complete episodes: no bootstrapping
• MC uses the simplest possible idea: value = mean return
• Caveat: can only apply MC to episodic MDPs
• All episodes must terminate

## MC policy evaluation

• Goal： learn $v_{\pi}$ from episodes of experience under policy $\pi$
• The return is the total discounted reward:
• The value function is the expected return:
• Monte-Carlo policy evaluation uses empirical mean return instead of expected return

### First-visit MC policy evaluation

To evaluate state $s$

• The first time-step $t$ that state $s$ is visited in an episode
• Increment counter $N(s) \leftarrow N(s) + 1$
• Increment counter $S(s) \leftarrow S(s) + G_t$
• Value is estimated by mean return $V(s) = S(s) / N(s)$
• By law of large numbers, $V(s) \rightarrow v_{\pi}(s)$ as $N(s) \rightarrow \infty$

### Every-visit MC policy evaluation

To evaluate state $s$

• The every time-step $t$ that state $s$ is visited in an episode
• Increment counter $N(s) \leftarrow N(s) + 1$
• Increment counter $S(s) \leftarrow S(s) + G_t$
• Value is estimated by mean return $V(s) = S(s) / N(s)$
• By law of large numbers, $V(s) \rightarrow v_{\pi}(s)$ as $N(s) \rightarrow \infty$

## Incremental Monte-Carlo

### Incremental Mean

The mean $\mu_1, \mu_2, \cdots$ of a sequence $x_1, x_2, \cdots$ can be computed incrementally

• Update $V(s)$ incrementally after episode $S_1, A_1, R_2, \cdots, S_T$
• For each state $S_t$ with return $G_t$
• In non-stationary problems, it can be useful to track a running mean, i.e. forget old episodes

# Temporal-Difference Learning

• TD methods learn directly from episodes of experience
• TD is model-free: no knowledge of MDP transitions / rewards
• TD learns from incomplete episodes, by bootstrapping
• TD updates a guess towards a guess

## MC and TD

• goal: learn $v_{\pi}$ online from experience under policy $\pi$
• Incremental every-visit MC

• Update value $V(S_t)$ toward actual return $G_t$

• Simplest temporal-difference learning algorithm: TD(0)
• Update $V(S_t)$ toward estimated return $R_{t+1} + \gamma V(S_{t+1})$

# MC v.s TD

## Pros and cons

1.Process

• TD can learn before knowing the final outcome

• TD can learn online after every step
• MC must wait until end of episode before return is known
• TD can learn without the final outcome

• TD can learn from incomplete sequences
• MC can only learn from complete sequences
• TD works in continuing (non-terminating) environments
• MC only works for episodic (terminating) environments

2.Statistics

• MC has high variance, zero bias
• Good convergence properties (even with function approximation)
• Not very sensitive to initial value
• Very simple to understand and use
• TD has low variance, some bias
• Usually more efficient than MC
• TD(0) converges to $v_{\pi}(s)$ but not always with function approximation
• More sensitive to initial value

3.Markov property

• TD exploits Markov property
• Usually more efficient in Markov environments
• MC does not exploit Markov property
• Usually more efficient in non-Markov environments

• Return $G_t = R_{t+1} + \gamma R_{t+2} + \cdots + \gamma^{T-1} R_{T}$ is unbiased estimate of $v_{\pi}(S_t)$
• True TD target $T_{t+1} + \gamma v_{\pi}(S_{t+1})$ is unbiased estimate of $v_{\pi}(S_t)$
• TD target $R_{t+1} + \gamma V(S_{t=1})$ is biased estimate of $v_{pi}(S_t)$