Title: Trust Region Value Optimization using Kalman Filtering,
Abstract: Policy evaluation is a key process in reinforcement learning. It assesses a
given policy using estimation of the corresponding value function. When using a
parameterized function to approximate the value, it is common to optimize the
set of parameters by minimizing the sum of squared Bellman Temporal Differences
errors. However, this approach ignores certain distributional properties of
both the errors and value parameters. Taking these distributions into account
in the optimization process can provide useful information on the amount of
confidence in value estimation. In this work we propose to optimize the value
by minimizing a regularized objective function which forms a trust region over
its parameters. We present a novel optimization method, the Kalman Optimization
for Value Approximation (KOVA), based on the Extended Kalman Filter. KOVA
minimizes the regularized objective function by adopting a Bayesian perspective
over both the value parameters and noisy observed returns. This distributional
property provides information on parameter uncertainty in addition to value
estimates. We provide theoretical results of our approach and analyze the
performance of our proposed optimizer on domains with large state and action
spaces.