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With the development of data-efficient reinforcement learning (RL) methods, a promising data-driven solution for optimal control of complex technical systems has become available. For the application of RL to a technical system, it is usually required to evaluate a policy before actually applying it to ensure it operates the system safely and within required performance bounds. In benchmark applications one can use the system dynamics directly to measure the policy quality. In real applications, however, this might be too expensive or even impossible. Being unable to evaluate the policy without using the actual system hinders the application of RL to autonomous controllers. As a first step toward agent self-assessment, we deal with discrete MDPs in this paper. We propose to use the value function along with its uncertainty to assess a policy's quality and show that, when dealing with an MDP estimated from observations, the value function itself can be misleading. We address this problem by determining the value function's uncertainty through uncertainty propagation and evaluate the approach using a number of benchmark applications.