Lecture 3: Model-Free Policy Evaluation: Policy

Evaluation Without Knowing How the World Works

Emma Brunskill

CS234 Reinforcement Learning

Winter 2025

Material builds on structure from David Silver’s Lecture 4: Model-Free

Prediction. Other resources: Sutton and Barto Jan 1 2018 draft
Chapter/Sections: 5.1; 5.5; 6.1-6.3

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 L3N1 Refresh Your Knowledge [Polleverywhere Poll]

In a tabular MDP asymptotically value iteration will always yield a policy

with the same value as the policy returned by policy iteration
1 True.
2 False
3 Not sure
Can value iteration require more iterations than |A||S| to compute the
optimal value function? (Assume |A| and |S| are small enough that each
round of value iteration can be done exactly).
1 True.
2 False
3 Not sure

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 L3N1 Refresh Your Knowledge

In a tabular MDP asymptotically value iteration will always yield a policy

with the same value as the policy returned by policy iteration

Can value iteration require more iterations than |A||S| to compute the
optimal value function? (Assume |A| and |S| are small enough that each
round of value iteration can be done exactly).

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 Today’s Plan

Last Time:
Markov reward / decision processes
Policy evaluation & control when have true model (of how the world works)
Today
Policy evaluation without known dynamics & reward models
Next Time:
Control when don’t have a model of how the world works

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 Evaluation through Direct Experience

Estimate expected return of policy π

Only using data from environment1 (direct experience)
Why is this important?
What properties do we want from policy evaluation algorithms?

1
Assume today this experience comes from executing the policy π. Later will
consider how to do policy evaluation using data gathered from other policies.
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 This Lecture: Policy Evaluation

Estimating the expected return of a particular policy if don’t have access to

true MDP models
Monte Carlo policy evaluation
Policy evaluation when don’t have a model of how the world works
Given on-policy samples
Temporal Difference (TD)
Certainty Equivalence with dynamic programming
Batch policy evaluation

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 Recall

Definition of Return, Gt (for a MRP)

Discounted sum of rewards from time step t to horizon

Gt = rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · ·

Definition of State Value Function, V π (s)

Expected return starting in state s under policy π

V π (s) = Eπ [Gt |st = s] = Eπ [rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · · |st = s]

Definition of State-Action Value Function, Q π (s, a)

Expected return starting in state s, taking action a and following policy π

Q π (s, a) = Eπ [Gt |st = s, at = a]

= Eπ [rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · · |st = s, at = a]

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 Recall: Dynamic Programming for Policy Evaluation
In a Markov decision process

V π (s) = Eπ [Gt |st = s]

= Eπ [rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · · |st = s]
X
= R(s, π(s)) + γ P(s ′ |s, π(s))V π (s ′ )
s ′ ∈S

If given dynamics and reward models, can do policy evaluation through

dynamic programming
X
Vkπ (s) = r (s, π(s)) + γ p(s ′ |s, π(s))Vk−1
π
(s ′ ) (1)
s ′ ∈S

Note: before convergence, Vkπ is an estimate of V π

In Equation 1 we are substituting s ′ ∈S p(s ′ |s, π(s))Vk−1
π
(s ′ ) for
P
2
Eπ [rt+1 + γrt+2 + γ rt+3 + · · · |st = s].
This substitution is an instance of bootstrapping
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 This Lecture: Policy Evaluation

Estimating the expected return of a particular policy if don’t have access to

true MDP models
Monte Carlo policy evaluation
Policy evaluation when don’t have a model of how the world work
Given on-policy samples
Temporal Difference (TD)
Certainty Equivalence with dynamic programming
Batch policy evaluation

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 Monte Carlo (MC) Policy Evaluation

Gt = rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · · + γ Ti −t rTi in MDP M under policy π

V π (s) = Eτ ∼π [Gt |st = s]
Expectation over trajectories τ generated by following π

Simple idea: Value = mean return

If trajectories are all finite, sample set of trajectories & average returns
Note: all trajectories may not be same length (e.g. consider MDP with
terminal states)

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 Monte Carlo (MC) Policy Evaluation

If trajectories are all finite, sample set of trajectories & average returns
Does not require MDP dynamics/rewards
Does not assume state is Markov
Can be applied to episodic MDPs
Averaging over returns from a complete episode
Requires each episode to terminate

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 First-Visit Monte Carlo (MC) On Policy Evaluation

Initialize N(s) = 0, G (s) = 0 ∀s ∈ S

Loop
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , , ai,Ti , ri,Ti
Define Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti as return from time
step t onwards in ith episode
For each time step t until Ti ( the end of the episode i)
If this is the first time t that state s is visited in episode i
Increment counter of total first visits: N(s) = N(s) + 1
Increment total return G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)

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 Every-Visit Monte Carlo (MC) On Policy Evaluation

Initialize N(s) = 0, G (s) = 0 ∀s ∈ S

Loop
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , , ai,Ti , ri,Ti
Define Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti as return from time
step t onwards in ith episode
For each time step t until Ti ( the end of the episode i)
state s is the state visited at time step t in episodes i
Increment counter of total visits: N(s) = N(s) + 1
Increment total return G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)

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 Optional Worked Example: MC On Policy Evaluation

Initialize N(s) = 0, G (s) = 0 ∀s ∈ S

Loop

Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
For each time step t until Ti ( the end of the episode i)
If this is the first time t that state s is visited in episode i (for first visit MC)
Increment counter of total first visits: N(s) = N(s) + 1
Increment total return G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)

Mars rover: R(s) = [ 1 0 0 0 0 0 +10]

Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
Let γ < 1. Compute the first visit & every visit MC estimates of s2 .
See solutions at the end of the slides

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 Incremental Monte Carlo (MC) On Policy Evaluation

After each episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . .

Define Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · as return from time step t
onwards in ith episode
For state s visited at time step t in episode i
Increment counter of total visits: N(s) = N(s) + 1
Update estimate
N(s) − 1 Gi,t 1
V π (s) = V π (s) + = V π (s) + (Gi,t − V π (s))
N(s) N(s) N(s)

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 Incremental Monte Carlo (MC) On Policy Evaluation

Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
for t = 1 : Ti where Ti is the length of the i-th episode
V π (sit ) = V π (sit ) + α(Gi,t − V π (sit ))

We will see many algorithms of this form with a learning rate, target, and
incremental update

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 Policy Evaluation Diagram

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 Policy Evaluation Diagram

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 Policy Evaluation Diagram

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 Policy Evaluation Diagram

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 MC Policy Evaluation

V π (s) = V π (s) + α(Gi,t − V π (s))

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 MC Policy Evaluation

V π (s) = V π (s) + α(Gi,t − V π (s))

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 Evaluation of the Quality of a Policy Estimation Approach

Consistency: with enough data, does the estimate converge to the true value
of the policy?
Computational complexity: as get more data, computational cost of
updating estimate
Memory requirements
Statistical efficiency (intuitively, how does the accuracy of the estimate
change with the amount of data)
Empirical accuracy, often evaluated by mean squared error

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 Evaluation of the Quality of a Policy Estimation Approach:
Bias, Variance and MSE
Consider a statistical model that is parameterized by θ and that determines
a probability distribution over observed data P(x|θ)
Consider a statistic θ̂ that provides an estimate of θ and is a function of
observed data x
E.g. for a Gaussian distribution with known variance, the average of a set of
i.i.d data points is an estimate of the mean of the Gaussian
Definition: the bias of an estimator θ̂ is:
Biasθ (θ̂) = Ex|θ [θ̂] − θ

Definition: the variance of an estimator θ̂ is:

Var (θ̂) = Ex|θ [(θ̂ − E[θ̂])2 ]

Definition: mean squared error (MSE) of an estimator θ̂ is:

MSE (θ̂) = Var (θ̂) + Biasθ (θ̂)2

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 Evaluation of the Quality of a Policy Estimation Approach:
Consistent Estimator
Consider a statistical model that is parameterized by θ and that determines
a probability distribution over observed data P(x|θ)
Consider a statistic θ̂ that provides an estimate of θ and is a function of
observed data x
Definition: the bias of an estimator θ̂ is:

Biasθ (θ̂) = Ex|θ [θ̂] − θ

Let n be the number of data points x used to estimate the parameter θ and
call the resulting estimate of θ using that data θ̂n
Then the estimator θ̂n is consistent if, for all ϵ > 0

lim Pr (|θ̂n − θ| > ϵ) = 0

n→∞

If an estimator is unbiased (bias = 0) is it consistent?

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 Properties of Monte Carlo On Policy Evaluators

Properties:
First-visit Monte Carlo
V π estimator is an unbiased estimator of true Eπ [Gt |st = s]
By law of large numbers, as N(s) → ∞, V π (s) → Eπ [Gt |st = s]
Every-visit Monte Carlo
V π every-visit MC estimator is a biased estimator of V π
But consistent estimator and often has better MSE
Incremental Monte Carlo
Properties depends on the learning rate α

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 Properties of Monte Carlo On Policy Evaluators

Update is: V π (sit ) = V π (sit ) + αk (sj )(Gi,t − V π (sit ))

where we have allowed α to vary (let k be the total number of updates done
so far, for state sit = sj )
If
∞
X
αn (sj ) = ∞,
n=1
X∞
αn2 (sj ) < ∞
n=1

then incremental MC estimate will converge to true policy value V π (sj )

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 Monte Carlo (MC) Policy Evaluation Key Limitations

Generally high variance estimator

Reducing variance can require a lot of data
In cases where data is very hard or expensive to acquire, or the stakes are
high, MC may be impractical
Requires episodic settings
Episode must end before data from episode can be used to update V

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 Monte Carlo (MC) Policy Evaluation Summary

Aim: estimate V π (s) given episodes generated under policy π

s1 , a1 , r1 , s2 , a2 , r2 , . . . where the actions are sampled from π

Gt = rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · · under policy π

V π (s) = Eπ [Gt |st = s]
Simple: Estimates expectation by empirical average (given episodes sampled
from policy of interest)
Updates V estimate using sample of return to approximate the expectation
Does not assume Markov process
Converges to true value under some (generally mild) assumptions
Note: Sometimes is preferred over dynamic programming for policy
evaluation even if know the true dynamics model and reward

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 This Lecture: Policy Evaluation

Estimating the expected return of a particular policy if don’t have access to

true MDP models
Monte Carlo policy evaluation
Temporal Difference (TD)
Certainty Equivalence with dynamic programming
Batch policy evaluation

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 Temporal Difference Learning

“If one had to identify one idea as central and novel to reinforcement
learning, it would undoubtedly be temporal-difference (TD) learning.” –
Sutton and Barto 2017
Combination of Monte Carlo & dynamic programming methods
Model-free
Can be used in episodic or infinite-horizon non-episodic settings
Immediately updates estimate of V after each (s, a, r , s ′ ) tuple

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 Temporal Difference Learning for Estimating V

Aim: estimate V π (s) given episodes generated under policy π

Gt = rt + γrt+1 + γ 2 rt+2 + γ 3 rt+3 + · · · in MDP M under policy π
V π (s) = Eπ [Gt |st = s]
Recall Bellman operator (if know MDP models)
X
B π V (s) = r (s, π(s)) + γ p(s ′ |s, π(s))V (s ′ )
s ′ ∈S

In incremental every-visit MC, update estimate using 1 sample of return (for

the current ith episode)

V π (s) = V π (s) + α(Gi,t − V π (s))

Idea: have an estimate of V π , use to estimate expected return

V π (s) = V π (s) + α([rt + γV π (st+1 )] − V π (s))

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 Temporal Difference [TD(0)] Learning

Aim: estimate V π (s) given episodes generated under policy π

s1 , a1 , r1 , s2 , a2 , r2 , . . . where the actions are sampled from π
TD(0) learning / 1-step TD learning: update estimate towards target

V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))

| {z }
TD target

TD(0) error:
δt = rt + γV π (st+1 ) − V π (st )

Can immediately update value estimate after (s, a, r , s ′ ) tuple

Don’t need episodic setting

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 Temporal Difference [TD(0)] Learning Algorithm

Input: α
Initialize V π (s) = 0, ∀s ∈ S
Loop
Sample tuple (st , at , rt , st+1 )
V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))
| {z }
TD target

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 Worked Example TD Learning

Input: α
Initialize V π (s) = 0, ∀s ∈ S
Loop
Sample tuple (st , at , rt , st+1 )
V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))
| {z }
TD target

Example Mars rover: R = [ 1 0 0 0 0 0 +10] for any action

π(s) = a1 ∀s, γ = 1. any action from s1 and s7 terminates episode
Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)

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 Worked Example TD Learning
Input: α
Initialize V π (s) = 0, ∀s ∈ S
Loop
Sample tuple (st , at , rt , st+1 )
V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))
| {z }
TD target

Example:
Mars rover: R = [ 1 0 0 0 0 0 +10] for any action
π(s) = a1 ∀s, γ = 1. any action from s1 and s7 terminates episode
Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
TD estimate of all states (init at 0) with α = 1, γ < 1 at end of this
episode?

First visit MC estimate of V of each state? [1 γ γ 2 0 0 0 0]

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 Temporal Difference (TD) Policy Evaluation
X
V π (st ) = r (st , π(st )) + γ P(st+1 |st , π(st ))V π (st+1 )
st+1

V (st ) = V (st ) + α([rt + γV π (st+1 )] − V π (st ))

π π

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 Check Your Understanding L3N2: Polleverywhere Poll
Temporal Difference [TD(0)] Learning Algorithm

Input: α
Initialize V π (s) = 0, ∀s ∈ S
Loop
Sample tuple (st , at , rt , st+1 )
V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))
| {z }
TD target

Select all that are true

1 If α = 0 TD will weigh the TD target more than the past V estimate
2 If α = 1 TD will update the V estimate to the TD target
3 If α = 1 TD in MDPs where the policy goes through states with multiple
possible next states, V may oscillate forever
4 There exist deterministic MDPs where α = 1 TD will converge

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 Check Your Understanding L3N2: Polleverywhere Poll
Temporal Difference [TD(0)] Learning Algorithm

Input: α
Initialize V π (s) = 0, ∀s ∈ S
Loop
Sample tuple (st , at , rt , st+1 )
V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))
| {z }
TD target

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 Summary: Temporal Difference Learning

Combination of Monte Carlo & dynamic programming methods

Model-free
Bootstraps and samples
Can be used in episodic or infinite-horizon non-episodic settings
Immediately updates estimate of V after each (s, a, r , s ′ ) tuple
Biased estimator (early on will be influenced by initialization, and won’t be
unibased estimator)
Generally lower variance than Monte Carlo policy evaluation
Consistent estimator if learning rate α satisfies same conditions specified for
incremental MC policy evaluation to converge
Note: algorithm I introduced is TD(0). In general can have
approaches that interpolate between TD(0) and Monte Carlo
approach

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 This Lecture: Policy Evaluation

Estimating the expected return of a particular policy if don’t have access to

true MDP models
Monte Carlo policy evaluation
Temporal Difference (TD)
Certainty Equivalence with dynamic programming
Batch policy evaluation

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 Certainty Equivalence V π MLE MDP Model Estimates

Model-based option for policy evaluation without true models

After each (si , ai , ri , si+1 ) tuple
Recompute maximum likelihood MDP model for (s, a)
i
1
1(sk = s, ak = a, sk+1 = s ′ )
X
P̂(s ′ |s, a) =
N(s, a)
k=1

i
1
1(sk = s, ak = a)rk
X
rˆ(s, a) =
N(s, a)
k=1

Compute V π using MLE MDP 2

(using any dynamic programming method
from lecture 2))

Optional worked example at end of slides for Mars rover domain.

2
Requires initializing for all (s, a) pairs
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 Certainty Equivalence V π MLE MDP Model Estimates
Model-based option for policy evaluation without true models
After each (s, a, r , s ′ ) tuple
Recompute maximum likelihood MDP model for (s, a)
K TXk −1
1 X
P̂(s ′ |s, a) = 1(sk,t = s, ak,t = a, sk,t+1 = s ′ )
N(s, a) t=1
k=1

K TXk −1
1 X
rˆ(s, a) = 1(sk,t = s, ak,t = a)rt,k
N(s, a) t=1
k=1
Compute V π using MLE MDP
Cost: Updating MLE model and MDP planning at each update (O(|S|3 ) for
analytic matrix solution, O(|S|2 |A|) for iterative methods)
Very data efficient and very computationally expensive
Consistent (will converge to right estimate for Markov models)
Can also easily be used for off-policy evaluation (which we will shortly define
and discuss)
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 This Lecture: Policy Evaluation

Estimating the expected return of a particular policy if don’t have access to

true MDP models
Monte Carlo policy evaluation
Policy evaluation when don’t have a model of how the world work
Given on-policy samples
Temporal Difference (TD)
Certainty Equivalence with dynamic programming
Batch policy evaluation

Emma Brunskill (CS234 Reinforcement Learning)

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 Batch MC and TD

Batch (Offline) solution for finite dataset

Given set of K episodes
Repeatedly sample an episode from K
Apply MC or TD(0) to the sampled episode

What do MC and TD(0) converge to?

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 AB Example: (Ex. 6.4, Sutton & Barto, 2018)

Two states A, B with γ = 1

Given 8 episodes of experience:
A, 0, B, 0
B, 1 (observed 6 times)
B, 0
Imagine running TD updates over data infinite number of times
V (B) =

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 AB Example: (Ex. 6.4, Sutton & Barto, 2018)

TD Update: V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))

| {z }
TD target

Two states A, B with γ = 1

Given 8 episodes of experience:
A, 0, B, 0
B, 1 (observed 6 times)
B, 0

Imagine run TD updates over data infinite number of times

V (B) = 0.75 by TD or MC
What about V (A)?

Emma Brunskill (CS234 Reinforcement Learning)

Lecture 3: Model-Free Policy Evaluation: Policy Evaluation
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 Check Your Understanding L3N3: AB Example: (Ex. 6.4,
Sutton & Barto, 2018)

TD Update: V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))

| {z }
TD target

Two states A, B with γ = 1

Given 8 episodes of experience:
A, 0, B, 0
B, 1 (observed 6 times)
B, 0

Imagine run TD updates over data infinite number of times

V (B) = 0.75 by TD or MC
What about V (A)?
Respond in Poll

Emma Brunskill (CS234 Reinforcement Learning)

Lecture 3: Model-Free Policy Evaluation: Policy Evaluation
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 Check Your Understanding L3N3: AB Example: (Ex. 6.4,
Sutton & Barto, 2018)

TD Update: V π (st ) = V π (st ) + α([rt + γV π (st+1 )] −V π (st ))

| {z }
TD target

Two states A, B with γ = 1

Given 8 episodes of experience:
A, 0, B, 0
B, 1 (observed 6 times)
B, 0

Imagine run TD updates over data infinite number of times

V (B) = 0.75 by TD or MC
What about V (A)?

Emma Brunskill (CS234 Reinforcement Learning)

Lecture 3: Model-Free Policy Evaluation: Policy Evaluation
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 Batch MC and TD: Convergence

Monte Carlo in batch setting converges to min MSE (mean squared error)
Minimize loss with respect to observed returns
In AB example, V (A) = 0

TD(0) converges to DP policy V π for the MDP with the maximum

likelihood model estimates
Aka same as dynamic programming with certainty equivalence!
Maximum likelihood Markov decision process model
i
1
1(sk = s, ak = a, sk+1 = s ′ )
X
P̂(s ′ |s, a) =
N(s, a)
k=1

i
1
1(sk = s, ak = a)rk
X
rˆ(s, a) =
N(s, a)
k=1

Compute V π using this model

In AB example, V (A) = 0.75

Emma Brunskill (CS234 Reinforcement Learning)

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 Some Important Properties to Evaluate Model-free Policy
Evaluation Algorithms

Data efficiency & Computational efficiency

In simple TD(0), use (s, a, r , s ′ ) once to update V (s)
O(1) operation per update
In an episode of length L, O(L)

In MC have to wait till episode finishes, then also O(L)

MC can be more data efficient than simple TD
But TD exploits Markov structure
If in Markov domain, leveraging this is helpful

Dynamic programming with certainty equivalence also uses Markov structure

Emma Brunskill (CS234 Reinforcement Learning)

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 Summary: Policy Evaluation
Estimating the expected return of a particular policy if don’t have access
to true MDP models. Ex. evaluating average purchases per session of new
product recommendation system
Monte Carlo policy evaluation
Policy evaluation when we don’t have a model of how the world works
Given on policy samples
Given off policy samples
Temporal Difference (TD)
Dynamic Programming with certainty equivalence
*Understand what MC vs TD methods compute in batch evaluations
Metrics / Qualities to evaluate and compare algorithms
Uses Markov assumption
Accuracy / MSE / bias / variance
Data efficiency
Computational efficiency

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 Today’s Plan

Last Time:
Markov reward / decision processes
Policy evaluation & control when have true model (of how the world works)
Today
Policy evaluation without known dynamics & reward models
Next Time:
Control when don’t have a model of how the world works

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 Optional Worked Example MC On Policy Evaluation
Answers
Initialize N(s) = 0, G (s) = 0 ∀s ∈ S
Loop
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
For each time step t until Ti ( the end of the episode i)
If this is the first time t that state s is visited in episode i
Increment counter of total first visits: N(s) = N(s) + 1
Increment total return G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)

Mars rover: R = [ 1 0 0 0 0 0 +10] for any action

Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
Let γ < 1. Compare the first visit & every visit MC estimates of s2 .

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 Optional Check Your Understanding L3: Incremental MC
(State if each is True or False)
First or Every Visit MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
For all s, for first or every time t that state s is visited in episode i
N(s) = N(s) + 1, G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)
Incremental MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
for t = 1 : Ti where Ti is the length of the i-th episode
V π (sit ) = V π (sit ) + α(Gi,t − V π (sit ))
1 Incremental MC with α = 1 is the same as first visit MC
2 Incremental MC with α = N(s1 ) is the same as every visit MC
it

3 Incremental MC with α > N(s1 ) could be helpful in non-stationary domains

it

Emma Brunskill (CS234 Reinforcement Learning)

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 Optional Check Your Understanding L3 Incremental MC
Answers
First or Every Visit MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,T , ai,T , ri,T
i i i

Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,T

i

For all s, for first or every time t that state s is visited in episode i
N(s) = N(s) + 1, G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)

Incremental MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,T , ai,T , ri,T
i i i

for t = 1 : Ti where Ti is the length of the i-th episode

V π (sit ) = V π (sit ) + α(Gi,t − V π (sit ))

1 Incremental MC with α = 1 is the same as first visit MC

2 Incremental MC with α = N(s1 ) is the same as every visit MC

it

3 Incremental MC with α > N(s1 ) could help in non-stationary domains

it

Emma Brunskill (CS234 Reinforcement Learning)

Lecture 3: Model-Free Policy Evaluation: Policy Evaluation
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 Optional Check Your Understanding L3 Incremental MC
(State if each is True or False)
First or Every Visit MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
For all s, for first or every time t that state s is visited in episode i
N(s) = N(s) + 1, G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)
Incremental MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,Ti , ai,Ti , ri,Ti
Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,Ti
for t = 1 : Ti where Ti is the length of the i-th episode
V π (sit ) = V π (sit ) + α(Gi,t − V π (sit ))
1 Incremental MC with α = 1 is the same as first visit MC
2 Incremental MC with α = N(s1 ) is the same as every visit MC
it

3 Incremental MC with α > N(s1 ) could be helpful in non-stationary domains

it

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 Check Your Understanding L3N1: Polleverywhere Poll
Incremental MC Answers
First or Every Visit MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,T , ai,T , ri,T
i i i

Gi,t = ri,t + γri,t+1 + γ 2 ri,t+2 + · · · γ Ti −1 ri,T

i

For all s, for first or every time t that state s is visited in episode i
N(s) = N(s) + 1, G (s) = G (s) + Gi,t
Update estimate V π (s) = G (s)/N(s)

Incremental MC
Sample episode i = si,1 , ai,1 , ri,1 , si,2 , ai,2 , ri,2 , . . . , si,T , ai,T , ri,T
i i i

for t = 1 : Ti where Ti is the length of the i-th episode

V π (sit ) = V π (sit ) + α(Gi,t − V π (sit ))

1 Incremental MC with α = 1 is the same as first visit MC

2 Incremental MC with α = N(s1 ) is the same as every visit MC

it

3 Incremental MC with α > N(s1 ) could help in non-stationary domains

it

Emma Brunskill (CS234 Reinforcement Learning)

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 Certainty Equivalence V π MLE MDP Worked Example

!" !# !$ !% !& !' !(

) !" = +1 ) !# = 0 ) !$ = 0 ) !% = 0 ) !& = 0 ) !' = 0 ) !( = +10

89/: ./01/!123
.2456 7214 .2456 7214

Mars rover: R = [ 1 0 0 0 0 0 +10] for any action

π(s) = a1 ∀s, γ = 1. any action from s1 and s7 terminates episode
Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
First visit MC estimate of V of each state? [1 γ γ 2 0 0 0 0]
TD estimate of all states (init at 0) with α = 1 is [1 0 0 0 0 0 0]
Optional exercise: What is the certainty equivalent estimate?

Emma Brunskill (CS234 Reinforcement Learning)

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 Certainty Equivalence V π MLE MDP Worked Ex Solution
!" !# !$ !% !& !' !(

) !" = +1 ) !# = 0 ) !$ = 0 ) !% = 0 ) !& = 0 ) !' = 0 ) !( = +10

89/: ./01/!123
.2456 7214 .2456 7214

Mars rover: R = [ 1 0 0 0 0 0 +10] for any action

π(s) = a1 ∀s, γ = 1. any action from s1 and s7 terminates episode
Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
First visit MC estimate of V of each state? [1 γ γ 2 0 0 0 0]
TD estimate of all states (init at 0) with α = 1 is [1 0 0 0 0 0 0]
Optional exercise: What is the certainty equivalent estimate?
rˆ = [1 0 0 0 0 0 0], p̂(terminate|s1 , a1 ) = p̂(s2 |s3 , a1 ) = 1

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 Recall: Dynamic Programming for Policy Evaluation

If we knew dynamics and reward model, we can do policy evaluation

Initialize V0π (s) = 0 for all s
For k = 1 until convergence
For all s in S
X
Vkπ (s) = r (s, π(s)) + γ p(s ′ |s, π(s))Vk−1
π
(s ′ )
s ′ ∈S

Vkπ (s) is exactly the k-horizon value of state s under policy π

Vkπ (s) is an estimate of the infinite horizon value of state s under policy π

V π (s) = Eπ [Gt |st = s] ≈ Eπ [rt + γVk−1 |st = s]

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 Dynamic Programming Policy Evaluation
V π (s) ← Eπ [rt + γVk−1 |st = s]

Bootstrapping: Update for V uses an estimate

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 Dynamic Programming Policy Evaluation
V π (s) ← Eπ [rt + γVk−1 |st = s]

Bootstrapping: Update for V uses an estimate

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 What about when we don’t know the models?

Emma Brunskill (CS234 Reinforcement Learning)

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 !" !# !$ !% !& !' !(

) !" = +1 ) !# = 0 ) !$ = 0 ) !% = 0 ) !& = 0 ) !' = 0 ) !( = +10

89/: ./01/!123
.2456 7214 .2456 7214

Mars rover: R = [ 1 0 0 0 0 0 +10] for any action

π(s) = a1 ∀s, γ = 1. any action from s1 and s7 terminates episode
Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
First visit MC estimate of V of each state? [1 γ γ 2 0 0 0 0]
TD estimate of all states (init at 0) with α = 1 is [1 0 0 0 0 0 0]
What is the certainty equivalent estimate?
rˆ = [1 0 0 0 0 0 0], p̂(terminate|s1 , a1 ) = p̂(s2 |s3 , a1 ) = 1
p̂(s1 |s2 , a1 ) = .5, p̂(s2 |s2 , a1 ) = .5, V = [1 1 1 0 0 0 0]

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 Bias/Variance of Model-free Policy Evaluation Algorithms

Return Gt is an unbiased estimate of V π (st )

TD target [rt + γV π (st+1 )] is a biased estimate of V π (st )
But often much lower variance than a single return Gt
Return function of multi-step sequence of random actions, states & rewards
TD target only has one random action, reward and next state
MC
Unbiased (for first visit)
High variance
Consistent (converges to true) even with function approximation
TD
Some bias
Lower variance
TD(0) converges to true value with tabular representation
TD(0) does not always converge with function approximation

Emma Brunskill (CS234 Reinforcement Learning)

Lecture 3: Model-Free Policy Evaluation: Policy Evaluation
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 !" !# !$ !% !& !' !(

) !" = +1 ) !# = 0 ) !$ = 0 ) !% = 0 ) !& = 0 ) !' = 0 ) !( = +10

89/: ./01/!123
.2456 7214 .2456 7214

Mars rover: R = [ 1 0 0 0 0 0 +10] for any action

π(s) = a1 ∀s, γ = 1. any action from s1 and s7 terminates episode
Trajectory = (s3 , a1 , 0, s2 , a1 , 0, s2 , a1 , 0, s1 , a1 , 1, terminal)
First visit MC estimate of V of each state? [1 1 1 0 0 0 0]
TD estimate of all states (init at 0) with α = 1 is [1 0 0 0 0 0 0]
TD(0) only uses a data point (s, a, r , s ′ ) once
Monte Carlo takes entire return from s to end of episode

Emma Brunskill (CS234 Reinforcement Learning)

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