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In this paper we address the reliability of policies derived by Reinforcement Learning on a limited amount of observations. This can be done in a principled manner by taking into account the derived Q-functionpsilas uncertainty, which stems from the uncertainty of the estimators used for the MDPpsilas transition probabilities and the reward function. We apply uncertainty propagation parallelly to the Bellman iteration and achieve confidence intervals for the Q-function. In a second step we change the Bellman operator as to achieve a policy guaranteeing the highest minimum performance with a given probability. We demonstrate the functionality of our method on artificial examples and show that, for an important problem class even an enhancement of the expected performance can be obtained. Finally we verify this observation on an application to gas turbine control.
Date of Conference: 1-8 June 2008