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I'm studying reinforcement learning from Richard S. Sutton book, where the derivation of Bellman equation is given as following:

$$v_\pi(s) = E_\pi(R_{t+1} + \gamma G_{t+1} | S_t = s)$$ $$=\sum_a \pi(a|s)\sum_{s'}\sum_rp(s', r|s, a)[r + \gamma E_\pi([G_{t+1}|S_{t+1} = s])]$$

I don't understand how this equation arrived from first one. here is one another resource explaining the same. But at both the places the same equation is derived. So What I'm missing here?

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If we follow policy $\pi$, given that we are at state $s$.

Then with probability $\pi(a|s)$, we take action $a$.

Given that we are at state $s$ and $a$, with probability $p(s',r|s,a)$, we receive reward $r$ and arrive at state $s'$.

That is by the law of total expectation,

\begin{align} &E_\pi (R_{t+1}+\gamma G_{t+1}|S_t=s) \\&= \sum_{r,s', a} E_\pi (R_{t+1}+\gamma G_{t+1}|R_{t+1}=r, S_{t+1}=s', A=a,S_t=s)Pr(R_{t+1}=r, S_{t+1}=s', A=a|S_t=s) \\ &=\sum_{r,s', a} Pr(R_{t+1}=r, S_{t+1}=s', A=a|S_t=s)E_\pi (R_{t+1}+\gamma G_{t+1}|R_{t+1}=r, S_{t+1}=s', A=a,S_t=s) \\ &=\sum_{r,s', a} Pr(A=a|S_t=s) Pr(R_{t+1}=r, S_{t+1}=s'|A=a, S_t=s)E_\pi (r+\gamma G_{t+1}| S_{t+1}=s', A=a,S_t=s) \\ &=\sum_{r,s', a} \pi(a|s)p(s',r|s,a)E_\pi (r+\gamma G_{t+1}| S_{t+1}=s'), \\ &=\sum_{r,s', a} \pi(a|s)p(s',r|s,a)[r+\gamma E_\pi (G_{t+1}| S_{t+1}=s')] \end{align}

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  • $\begingroup$ Thanks for answer, but this confused me even more. $\endgroup$
    – Kaushal28
    Sep 11 '18 at 16:14
  • $\begingroup$ which part is not clear? $\endgroup$ Sep 11 '18 at 16:19
  • $\begingroup$ the first step itself. I can't relate it with the definition of expectation. $\endgroup$
    – Kaushal28
    Sep 11 '18 at 16:27
  • $\begingroup$ Perhaps, the law of total expectation might help. The whole idea is to consider all possible outcome and weight the corresponding conditional expectation by the corresponding probability. $\endgroup$ Sep 11 '18 at 16:29
  • $\begingroup$ Understood the first two steps! how the third one derived from second step? $\endgroup$
    – Kaushal28
    Sep 11 '18 at 16:47

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