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2008

New Error Bounds for Approximations from Projected Linear Equations

8 years 10 months ago
New Error Bounds for Approximations from Projected Linear Equations
We consider linear fixed point equations and their approximations by projection on a low dimensional subspace. We derive new bounds on the approximation error of the solution, which are expressed in terms of low dimensional matrices and can be computed by simulation. When the fixed point mapping is a contraction, as is typically the case in Markovian decision processes (MDP), one of our bounds is always sharper than the standard worst case bounds, and another one is often sharper. Our bounds also apply to the non-contraction case, including policy evaluation in MDP with nonstandard projections that enhance exploration. There are no error bounds currently available for this case to our knowledge. Joint Technical Report of U.H. and M.I.T. Technical Report C-2008-43 Dept. Computer Science University of Helsinki and LIDS Report 2797 Dept. EECS M.I.T. July 2008 Huizhen Yu is with HIIT and Dept. Computer Science, University of Helsinki, Finland. Dimitri Bertsekas is with the Laboratory for ...
Huizhen Yu, Dimitri P. Bertsekas
Added 19 Oct 2010
Updated 19 Oct 2010
Type Conference
Year 2008
Where EWRL
Authors Huizhen Yu, Dimitri P. Bertsekas
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