Alphabeta Math

Finite MDPs and Bellman operators

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1 · Prerequisites
Abstract Algebra
Combinatorics
Linear Algebra
Measure Theory
Probability
Real Analysis
Set Theory
Topology
2 · Logical flowchart

3 · Items

Definition

Finite Markov decision process with joint reward-transition law

Lemma

Absolute convergence and tail bound for bounded discounted rewards

Lemma

Completeness of the sup metric on finite-state value functions

Theorem

A finite MDP and stationary policy generate a reward-state Markov chain

Definition

Policy Bellman operator

Definition

Bellman optimality operator

Definition

Discounted returns and policy values in a finite MDP

Theorem

Finite-MDP Bellman operators are gamma contractions with unique fixed points

Algorithm

Exact value iteration for the Bellman optimality operator

Lemma

Expected discounted policy value is a fixed point of its Bellman operator

Theorem

Value iteration converges at the Bellman contraction rate

Algorithm

Exact finite policy iteration with retained greedy actions

Theorem

Greedy policy improvement and finite policy-iteration termination

Sources